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The Risk Management of Contingent Convertible (CoCo) Bonds
ISBN-13:
9783030018245
Veröffentl:
2018
Seiten:
106
Autor:
Jan De Spiegeleer
Serie:
SpringerBriefs in Finance
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
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.
Preface. - 1 A Primer on Contingent Convertible (CoCo) Bonds. - 2 Pricing Models of CoCos.- 3 Impact of a New CoCo Issue on the Outstanding CoCos. - 4 Rating of CoCos. - 5 Sensitivity Analysis of CoCos. - 6 Impact of Skewness on the Price of a CoCo. - 7 Distance to Trigger.- 8 Outlier Detection of CoCos.- 9 Conclusion.- A Derivation of Carr-Madan Formula for Vanilla Option Prices using FFT. - Bibliography.
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