The Risk Management of Contingent Convertible (CoCo) Bonds

• Κύριοι συγγραφείς: De Spiegeleer, Jan (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut), Marquet, Ine (http://id.loc.gov/vocabulary/relators/aut), Schoutens, Wim (http://id.loc.gov/vocabulary/relators/aut)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Έκδοση: 1st ed. 2018.
• Σειρά: SpringerBriefs in Finance,
• Θέματα: Economics, Mathematical .; Financial engineering.; Statistics .; Finance-Mathematics.; Probabilities.; Risk management.; Quantitative Finance.; Financial Engineering.; Statistics for Business, Management, Economics, Finance, Insurance.; Financial Mathematics.; Probability Theory and Stochastic Processes.; Risk Management.

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...

Πίνακας περιεχομένων:

• 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.