Inny tytuł:

Raport Badawczy = Research Report ; RB/56/2002

Wydawca:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Miejsce wydania:

Warszawa

Opis:

20, [2] pages ; 21 cm ; Bibliography p. 19-20

Abstrakt:

A new approach to valuation of bonds under the default risk conditions, based on the concept of the investors' two-factor utility function is proposed. The first factor describes the expected average return from the risky investments, while the second – the worst case return. As a class of risky securities the so-called catastrophe bonds are considered. It is assumed that depending on the structure of the security contract, the invesor who buys the bond issued by a local authority governing the risky region – will lose his interest payments and/or the principal value, if a catastrophic event occurs. For the purpose of the valuation procedure, the new notions of the security safety level, the safety index, as well as two-rule decision model are successively introduced. The subjective scale as a measure of the degree of individuals' risk aversion is proposed. The idea of objective and subjective risk components is investigated. The methodology proposed is illustrated by a computational example.

Czasopismo/Seria/cykl:

Raport Badawczy = Research Report

Szczegółowy typ zasobu:

Report

Identyfikator zasobu:

oai:rcin.org.pl:139440

Źródło:

RB-2002-56

Język:

eng

Język streszczenia:

eng

Prawa:

Creative Commons Attribution BY 4.0 license

Zasady wykorzystania:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitalizacja:

Systems Research Institute of the Polish Academy of Sciences

Lokalizacja oryginału:

Library of Systems Research Institute PAS

Dofinansowane ze środków:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Dostęp:

Open