Bravo, Jorge Miguel VenturaBrandão, Mariana Botelho Troufa Real2024-05-102024-05-102024-04-17http://hdl.handle.net/10362/167238Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementAs pandemics show an increasing frequency, research on effective pandemic risk management strategies plays a crucial role in strengthening financial markets and insurance industry resilience to such events. This study proposes an extension for Manathunga and Deng’s (2023) pandemic bond pricing framework by integrating the impact of a pandemic inception date relative to the bonds term and adjusting trigger activation probabilities using the Wang transform. As a first approach to pandemic bond pricing using German COVID-19 data, different growth rate scenarios are employed. The following scenarios offer insights into the proposed pandemic bond’s price sensitivity relative to possible pandemic start dates and trigger activation probability scenarios. The Wang transform is used to reflect investors aversion or optimism towards pandemic risk from issuance to bonds maturity. This research hopes to contribute to the emerging field of pandemic bond pricing, providing guidance for investors and policymakers navigating pandemic risk in financial markets.engPandemic bondsBond valuationHull-White modelStochastic Logistic growth modelWang transformationTriggering conditionsPandemic inception dateSensitivity analysisCOVID-19master thesis203606400