Insight and Intelligence on (Re)insurance Convergence with the Capital Markets

21 May 2012

RMS calls for multi-model view on cat bonds

19 April 2011

Modelling agency RMS says the decision from ratings agency Standard & Poor's to review RMS-modelled US wind cat bonds will create opportunities for arbitrage as similar risks are given different ratings.

S&P placed a group of bonds on CreditWatch with negative implications yesterday as it announced plans to review them under the new RMS hurricane model.

The new model has significantly changed projected losses for this risk and S&P said ratings on the affected bonds could change by up to...

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