| Sažetak | Obveznice katastrofe (eng. Catastrophe Bonds, CAT Bonds), skraćeno CAT obveznice, a u literaturi poznate i kao osiguranjem vezane vrijednosnice, relativno su nova pojava na financijskim tržištima. Spadaju u skupinu rizikom vezanih vrijednosnica (eng. Risk-Linked Securities, RLS). Prvi oblici RLS-a pojavili su se 1992. godine, u obliku futures ugovora na katastrofe, potom u obliku put i call opcija na katastrofe. Nakon početnog uspjeha, ovi oblici zaštite od katastrofa ubrzo su napušteni zbog manjka trgovanja, plitkosti tržišta, kreditnog rizika i mogućnosti trajnog narušavanja odnosa sa reosigurateljima. CAT obveznice su najuspješniji oblik zaštite od rizika katastrofa, modelirane prema vrijednosnicama temeljenim na imovini (eng. Asset-Backed Securities, ABS), a javile su se 1994. godine. Većina današnjih CAT obveznica vezane su za potrese i uragane, no postoje i CAT obveznice izdane na smrtnost, osiguranje automobila, osiguranje protiv stradavanja, i sl. U radu su predstavljene teorijske pretpostavke, povijesni pregled razvoja CAT obveznica, te analiza tržišta tih obveznica. Potom se sastavila jedna takva obveznica, kojom bi Vlada Republike Hrvatske, ali i druga osiguravajuća društva, mogla ublažiti ekonomske gubitke uslijed razornog potresa. Model kojim je vrednovana obveznica u obzir uzima trade-off između učestalosti katastrofe, te ozbiljnosti, odnosno očekivanog gubitka glavnice uslijed nastanka katastrofe. Deskriptivna analiza i analiza distribucije potresa bio je slijedeći korak pri odabiru čimbenika rizika potresa u Hrvatskoj. Za izračun učestalosti potresa koristio se Poissonov proces i podaci Europske komisije, dok se za izračun očekivanog gubitka glavnice koristila Monte-Carlo simulacija. Da se obveznicu učini transparentnijom i privlačnijom široj bazi investitora, ista je podijeljena na tri tranše, za koje su korišteni različiti čimbenici rizika potresa, a gubici glavnice su distribuirani po različitim razredima magnituda. Obveznica, odnosno sve njene tranše, potom su vrednovane prilagođenom Cobb-Douglasovom funkcijom, pri čemu su korišteni tržišni podaci o obveznicama katastrofe izdane u zadnjih tri godine. |
| Sažetak (engleski) | Catastrophe bonds, short for Cat Bonds, also known as Insurance-Linked Securities, are relatively new type of securities, that grant insurers the access to capital markets for risk insurance. The need for catastrophe insurance was catalyzed by hurricane Andrew in 1992, which left 63 insurers bankrupt. First instances of catastrophe insurance appeared in 1992 as futures contracts for weather. Cat bonds first appeared in 1994, and they present the most successful and efficient way for insurers to split the catastrophe risk with capital markets. Cat bonds can be classified by their triggers. There are three main types of triggers: first is the indemnity index, in which total amount of claimed indemnities equal the amount of principal loss. Second is industry-loss index, i.e., the amount of principal loss is proportional to the industry-wide losses of the entire insurance industry. Third is the parametric index, in which a specific parameter of the catastrophe is used as a reference for amortization of the principal. This thesis will cover history of Cat bond market, and current state of the market. After market analysis, a practical example will be made, which will demonstrate how Government of Croatia, or any other insurance company in Croatia, can hedge against earthquake risks. For that purpose, a risk model was constructed that took the trade-off between frequency and severity of earthquake risk into consideration. Frequency of destructive earthquakes was calculated using the Poisson process, while the severity of earthquakes was calculated with Monte-Carlo simulations. Model resulted in three tranches, each with their respective earthquake risk factors. In order to make the bond more transparent to investors, a spline function was used to distribute the loss of the principal across several grades of magnitudes. Finally, the bond was priced with generalized form of Cobb-Douglas production function, using market data for Cat bonds issued in the last three years. |
