Conghua Wen | Searcharxiv

arXiv2026

Green Haven or Risky Venture? Exploring the Connectedness and Hedging of Sustainable Cryptocurrencies and Green Financial Markets

Conventional cryptocurrency often leads to increased energy consumption and carbon emissions, while sustainable cryptocurrencies possess the potential to become a green alternative in portfolio management. This study aims to investigate the time-varying connectedness between sustainable cryptocurrency and green financial markets as well as hedging performance when facing market shocks, including COVID-19 and Russia-Ukraine war. TVP-VAR model with Fourier transform and Multivariate GARCH models are employed. The findings indicate that the pairwise connectedness between the sustainable cryptocurrencies and green financial markets has been at a low level, providing diversification benefits in investment portfolio. Besides, short-term connectedness dominates medium- and long-term connectedness. Sustainable cryptocurrencies show higher hedging effectiveness than traditional cryptocurrency.

stat.AP↗

arXiv2023

Pricing Multi-event Triggered Catastrophe Bonds Based on Copula-POT Model

The constantly expanding frequency and loss affected by natural disasters pose a severe challenge to the traditional catastrophe insurance market. This paper aims to develop an innovative framework of pricing catastrophic bonds triggered by multiple events with extreme dependence structure. Given the low contingency of the bond's cash flows and high return, the multiple-event CAT bond may successfully transfer the catastrophe risk to the big financial markets meeting the diversification of capital allocations for most potential investors. The designed hybrid trigger mechanism helps reduce moral hazard and improve bond attractiveness with CIR stochastic rate, displaying the co-movement of the wiped-off coupon, payout principal, the occurrence and intensity of the natural disaster involved. As different triggered indexes of multiple-event catastrophic bonds are heavy-tailed with a variety of dependence relationship, nested Archimedean copulas are introduced with marginal distributions modeled by POT-GP distribution for excess data and common parametric models for moderate risks. To illustrate our theoretical pricing framework, we consider a three-event rainstorm CAT bond triggered by catastrophic property losses, in China during 2006--2020. Monte Carlo simulations are conducted for the sensitivity analysis of the rainstorm CAT bond price is also in trigger attachment levels, maturity date, catastrophe intensity, and numbers of trigger indicators.

stat.AP↗