عنوان

The risk management of contingent convertible (CoCo) bonds /

شابک

3030018245

شابک

9783030018245

شابک اشتباه

3030018237

شابک اشتباه

9783030018238

عنوان اصلي

The risk management of contingent convertible (CoCo) bonds /

نام عام مواد

[Book]

نام نخستين پديدآور

Jan De Spiegeleer, Ine Marquet, Wim Schoutens.

محل نشرو پخش و غیره

Cham, Switzerland :

نام ناشر، پخش کننده و غيره

Springer,

تاریخ نشرو بخش و غیره

2018.

نام خاص و کميت اثر

1 online resource (viii, 106 pages) :

ساير جزييات

illustrations (some color)

عنوان فروست

SpringerBriefs in finance,

شاپا ي ISSN فروست

2193-1720

متن يادداشت

Includes bibliographical references.

متن يادداشت

Intro; Preface; Contents; 1 A Primer on Contingent Convertible (CoCo) Bonds; 1.1 What is a CoCo?; 1.1.1 Write-Down CoCos; 1.1.2 Conversion CoCos; 1.1.3 Contingent Conversion Convertible Bonds (CoCoCo); 1.2 The Trigger Mechanism; 1.3 Overview of the Risks; 1.3.1 Complexity and Non-standardisation; 1.3.2 Distance to Trigger; 1.3.3 Non-cumulative Coupon Cancellation; 1.3.4 Extension Risk; 1.3.5 Recovery Rate; 1.3.6 Liquidity Risk; 1.3.7 Negative Convexity; 1.4 Basel III Guidelines and CRD IV Regulation; 1.5 Effectiveness of Issuing CoCos; 1.5.1 Automatic Loss Absorption

متن يادداشت

1.5.2 Create Right Incentives1.5.3 Tax Benefit; 1.5.4 Proofs of Effect; 1.6 Type of Investors; 1.7 CoCo Market; 1.8 Conclusion; 2 Pricing Models for CoCos; 2.1 Credit Derivatives Approach; 2.1.1 Credit Triangle; 2.1.2 CoCo Pricing; 2.1.3 Recovery Rate; 2.1.4 Probability of Triggering; 2.2 Equity Derivatives Approach; 2.3 Implied CET1 Volatility Model; 2.4 Conclusion; 3 Sensitivity Analysis of CoCos; 3.1 Hedging CoCos; 3.2 Sensitivity Parameters; 3.2.1 The Greeks; 3.2.2 Estimating the Greeks of a CoCo; 3.3 Beta Coefficient; 3.4 Goodness-of-Fit; 3.5 Conclusion

متن يادداشت

4 Impact of Skewness on the Price of a CoCo4.1 Heston Model; 4.1.1 Pricing of Vanilla Options; 4.1.2 Pricing of Exotic Options; 4.1.3 Calibration; 4.2 Case Study -- Barclays; 4.3 Sensitivity to Parameters of the Heston Model; 4.3.1 Example of Barclays' CoCo; 4.3.2 Distressed Versus Non-distressed Situation; 4.4 Implied Volatility Surface; 4.5 Conclusions; 5 Distance to Trigger; 5.1 Distance to Trigger Versus CoCo Spread; 5.2 Adjusted Distance to Trigger; 5.3 Coupon Cancellation Risk; 5.4 Conclusion; 6 Outlier Detection of CoCos; 6.1 Value-at-Risk Equivalent Volatility (VEV)

متن يادداشت

6.1.1 Common Pitfalls6.1.2 Case Study: Risk of Different Asset Classes; 6.2 Are CoCos Moving Out of Sync?; 6.2.1 Minimum Covariance Determinant (MCD); 6.2.2 Measuring the Outliers; 6.3 Conclusion; 7 Conclusion; References

بدون عنوان

0

بدون عنوان

8

بدون عنوان

8

بدون عنوان

8

متن يادداشت

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.--

منبع سفارش / آدرس اشتراک

Springer Nature

شماره انبار

com.springer.onix.9783030018245

عنوان

Risk management of contingent convertible (CoCo) bonds.

شماره استاندارد بين المللي کتاب و موسيقي

9783030018238

موضوع مستند نشده

Convertible bonds.

موضوع مستند نشده

Applied mathematics.

موضوع مستند نشده

BUSINESS & ECONOMICS-- Finance.

موضوع مستند نشده

Convertible bonds.

موضوع مستند نشده

Finance & accounting.

موضوع مستند نشده

Finance.

موضوع مستند نشده

Management & management techniques.

موضوع مستند نشده

Probability & statistics.

موضوع مستند نشده

BUS-- 027000

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Spiegeleer, Jan de

مستند نام اشخاص تاييد نشده

Marquet, Ine

مستند نام اشخاص تاييد نشده

Schoutens, Wim

تاريخ عمليات

20200823073504.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y