목차
1 Introduction 1
2 Literature Review 5
3 Biodiversity-linked bonds: basic pricing framework and principles 7
3.1 Carrying capacity and Allee effect 8
3.2 Stochastic growth models with carrying capacity and Allee effects 8
3.3 Computation of the BLB’s premium 10
4 A binary BLB step-down coupon option example 11
5 Conclusions 27
List of Figures
1 Share of renewable natural capital in total wealth vs. 2022 PPP GDP 2
2 Enviromental Protection Index Score vs. 2022 PPP GDP 3
3 In-the-money (ITM) probability, BLB step-down coupon: biodiversity performance
target sensitivity 13
4 Initial coupon value, BLB step-down coupon: biodiversity performance target sensitivity 14
6 In-the-money (ITM) probability, BLB step-down coupon: utilization rate sensitivity 15
5 In-the-money (ITM) probability, BLB step-down coupon: growth rate sensitivity 15
7 In-the-money (ITM) probability, BLB step-down coupon: volatility sensitivity 16
8 In-the-money (ITM) probability, BLB step-down coupon: sensitivity to the initial population size 17
9 First passage time, BLB step-down coupon: biodiversity performance target sensitivity 19
10 First passage time, BLB step-down coupon: Allee threshold sensitivity 20
11 First passage time, BLB step-down coupon: intrinsic growth rate sensitivity 22
12 First passage time, BLB step-down coupon: utilization rate sensitivity 23
13 First passage time, BLB step-down coupon: volatility sensitivity 25
14 First passage time, BLB step-down coupon: sensitivity to the initial population size 26
List of Tables
1 First passage time, BLB step-down coupon: biodiversity performance target sensitivity, summary statistics 19
2 First passage time, BLB step-down coupon: Allee threshold sensitivity, summary
statistics 20
3 First passage time, BLB step-down coupon: intrinsic growth rate sensitivity, summary statistics 22
4 First passage time, BLB step-down coupon: utilization rate sensitivity, summary statistics 23
5 First passage time, BLB step-down coupon: intrinsic volatility sensitivity, summary statistics 25
6 First passage time, BLB step-down coupon: initial value Y0 sensitivity, summary statistics 26
