Brenda Lopez Cabrera
Brenda Lopez Cabrera
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Classes
- Statistics of Financial Markets II (Vorlesung SS07)
Projects
- Energy Markets
- Weather Derivatives, Sidecars, CAT bonds, ILS
- Dynamic Semiparametric Factor Models with seasonal effects
- CAT bonds for earthquakes/hurricanes
Publications
- López Cabrera, B. (with Härdle, W. K.) (2010). Calibrating CAT bonds for Mexican Earthquakes. Journal of Risk and Insurance. Accepted. Forthcoming
- López Cabrera, B. (with Härdle, K. H.) (2008), Calibrating Parametric CAT bonds. A case study for Mexican Earthquakes. Schmollers Jahrbuch, Journal of Applied Social Sciences studies, 128(4), 615-630. Duncker-Humblot Verlag, Berlin.
- López Cabrera, B. (2003). Valuación de Bonos
Catastróficos para terremotos en México (Bachelor Tesis). National
Prize of the Mexican Derivative Market (1° place).
Submissions
- López Cabrera, B. (with Benth, F., Härdle, W. K.) (2009). Pricing Asian temperature risk. Discussion paper, SFB 649, Humboldt-Universität zu Berlin.
- López Cabrera, B. (with Härdle, W. K.) (2009). Infering the market price of weather risk. Discussion paper, SFB 649, Humboldt-Universität zu Berlin.Submitted to JBES.
Working papers
- López Cabrera, B. (with Benth, F., Härdle, W. K.)(2009). On the sign of the market price of risk and risk premia
- López Cabrera, B. (with Fan, J., Härdle, W. K.)(2010). Factor Models: Energy Markets
Talks
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Pricing of Asian temperature risk 
Implied market price of weather risk 
Weather Derivatives 
Calibrating CAT Bonds for Mexican Earthquakes
