Subtitle:

Raport Badawczy = Research Report ; RB/59/2005

Publisher:

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

Place of publishing:

Warszawa

Description:

26 stron ; 21 cm ; Bibliografia s. 22

Abstract:

In the paper, 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 investor 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 welI as a 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 ilIustrated by a computational example.

Relation:

Raport Badawczy = Research Report

Detailed Resource Type:

Raport

Resource Identifier:

oai:rcin.org.pl:139665

Source:

RB-2005-59

Language:

eng

Language of abstract:

eng

Rights:

Licencja Creative Commons Uznanie autorstwa 4.0

Terms of use:

Zasób chroniony prawem autorskim. [CC BY 4.0 Międzynarodowe] Korzystanie dozwolone zgodnie z licencją Creative Commons Uznanie autorstwa 4.0, której pełne postanowienia dostępne są pod adresem: ; -

Digitizing institution:

Instytut Badań Systemowych Polskiej Akademii Nauk

Original in:

Biblioteka Instytutu Badań Systemowych PAN

Projects co-financed by:

Program Operacyjny Polska Cyfrowa, lata 2014-2020, Działanie 2.3 : Cyfrowa dostępność i użyteczność sektora publicznego; środki z Europejskiego Funduszu Rozwoju Regionalnego oraz współfinansowania krajowego z budżetu państwa

Access:

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