Catastrophe Bonds Structures at European Level. A Cluster Analysis Approach

The paper aims at examining several characteristics of the catastrophe bonds (CB) market by focusing on emblematic transactions with the objective of stressing the choices of the European-based (re)insurance groups in terms of the CB tranches structure. For the purpose of highlighting the common individualities regarding the configuration of the catastrophe bonds, there are recognized homogenous groups in terms of covered perils and size of the each CB tranche, while emphasizing some stringent aspects linked to their trigger mechanism (like the basis risk), their rating, or tenor. The research identifies several profiles regarding the structural characteristics of the CB during the entire analysed period (1999-2014) and the main periods of development of the market. Accommodating categorical and continuous data, the structural patterns are determined and analysed by applying the two-step cluster methodology.