img Leseprobe Leseprobe

The Risk Management of Contingent Convertible (CoCo) Bonds

Wim Schoutens, Jan De Spiegeleer, Ine Marquet, et al.

PDF
ca. 64,19
Amazon iTunes Thalia.de Weltbild.de Hugendubel Bücher.de ebook.de kobo Osiander Google Books Barnes&Noble bol.com Legimi yourbook.shop Kulturkaufhaus ebooks-center.de
* Affiliatelinks/Werbelinks
Hinweis: Affiliatelinks/Werbelinks
Links auf reinlesen.de sind sogenannte Affiliate-Links. Wenn du auf so einen Affiliate-Link klickst und über diesen Link einkaufst, bekommt reinlesen.de von dem betreffenden Online-Shop oder Anbieter eine Provision. Für dich verändert sich der Preis nicht.

Springer International Publishing img Link Publisher

Naturwissenschaften, Medizin, Informatik, Technik / Sonstiges

Beschreibung

This book provides an overview of the risk components of CoCo bonds. CoCos are hybrid financial instruments that convert into equity or suffer a write-down of the face value upon the appearance of a trigger event. The loss-absorption mechanism is automatically enforced either via the breaching of a particular accounting ratio, typically in terms of the Common Equity Tier 1 (CET1)  ratio, or via a regulatory trigger.

CoCos are non-standardised instruments with different loss-absorption and trigger mechanisms. They might also contain additional features such as the cancellation of coupon payments.

Different pricing models are discussed in detail. These models use market data such as share prices, CDS levels and implied volatility in order to calculate the theoretical price of a CoCo bond and its sensitivities, providing the investor with insides to hedge from adverse changes in the market conditions.

The audience are professionals as well as academics who want to learn how to risk manage CoCo bonds using cutting edge techniques as well as all the risk involved in CoCo bonds.


Weitere Titel in dieser Kategorie
Cover The Blue Book
Stamatina Th. Rassia
Cover Virtual Barrels
Ilia Bouchouev

Kundenbewertungen

Schlagwörter

Risk-management, CoCo bonds, Contingent capital, Contingent convertibles, quantitative finance, mathematical finance, Capital instruments