[HTML][HTML] Diversification through catastrophe bonds: Lessons from the subprime financial crisis

P Carayannopoulos, MF Perez - The Geneva Papers on Risk and …, 2015 - Springer
Are catastrophe bonds (CAT bonds) zero-beta investments? Are they a valuable new
source of diversification for investors? We study these questions by analysing the dynamic …

Valuing convertible bonds under the assumption of stochastic interest rates: An empirical investigation

P Carayannopoulos - Quarterly Journal of Business and Economics, 1996 - JSTOR
… firm value are firm value volatility σ2, the firm's expected dividend payments, and the correlation
coefficient between changes in firm value and changes in the short-term interest rate, p. …

[PDF][PDF] Convertible bond prices and inherent biases

P Carayannopoulos, M Kalimipalli - Journal of Fixed Income, 2003 - academia.edu
Carayannopoulos (1996b), using a structural model that allows for the stochastic nature of
interest rates, in a study of monthly data for 30 US convertible bonds finds that market prices …

An empirical analysis of the relationship of bond yield spreads and macro economic factors

…, P Carayannopoulos - Applied Financial …, 2001 - Taylor & Francis
This study develops and tests a model that explores the relationship between bond yield
spreads for various industries, as represented by the spread between corporate and equivalent …

Pricing dynamics in the market for catastrophe bonds

P Carayannopoulos, O Kanj, MF Perez - The Geneva Papers on Risk and …, 2022 - Springer
We study the time variation of the market price of catastrophe (CAT) bonds for the period
1999–2016. While we find an overall decreasing trend in the price of expected loss risk, large …

The mispricing of US Treasury callable bonds

P Carayannopoulos - The Journal of Futures Markets (1986 …, 1995 - search.proquest.com
In today's complex market, borrowers' and investors' needs require the design of products
which incorporate option-like features in their structure. In the fixed income securities area in …

[PDF][PDF] Insurance securitization

P Carayannopoulos, P Kovacs, D Leadbetter - Catastrophic event exposure …, 2003 - iclr.org
The number of natural disasters recorded in Canada has increased almost every decade
throughout the past century. More frequent severe weather events account for most of the …

A seasoning process in the US Treasury bond market: the curious case of newly issued ten-year notes

P Carayannopoulos - Financial Analysts Journal, 1996 - Taylor & Francis
The pricing behavior of new Treasury notes and bonds issued during the Treasury's regular
refunding operations suggest the existence of a seasoning process: Prices of new issues …

Determinants of Capital Holdings: Evidence from the Canadian Property/Casualty Insurance Industry.

P Carayannopoulos, M Kelly - Journal of Insurance …, 2004 - search.ebscohost.com
… The objective of this paper is to explore the capital holdings of Canadian p/c insurers relative
to regulatory requirements and firms’ risk exposures. In particular, the paper addresses the …

The Impact of the 2003 Regulatory Reform in the Canadian Property/Casualty Insurance Industry on Insurers' Surplus Levels

P Carayannopoulos, M Kelly, S Li - Journal of insurance Issues, 2010 - JSTOR
… sh the level of surplus holdings in the US P/C insurance m explain the levels of surplus held
… on the level of surplus held by Canadian P/C insu examine the argument brought forward by …