The Risk Management of Contingent Convertible (CoCo) Bonds

• Main Authors: De Spiegeleer, Jan (Author, 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)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: SpringerBriefs in Finance,
• Subjects: 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...

Table of Contents:

• 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.