The Risk Management of Contingent Converti...

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Sprache: Englisch

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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.

Zusammenfassung

Provides a primer on CoCo Bonds

Gives an overview of pricing models for these hybrid instruments

Describes how to risk-manage contingent convertibles using sophisticated cutting edge techniques

Inhaltsverzeichnis

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.

Details

Erscheinungsjahr:	2018
Fachbereich:	Allgemeines
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Reihe:	SpringerBriefs in Finance
Inhalt:	viii 106 S. 18 s/w Illustr. 25 farbige Illustr. 106 p. 43 illus. 25 illus. in color.
ISBN-13:	9783030018238
ISBN-10:	3030018237
Sprache:	Englisch
Herstellernummer:	978-3-030-01823-8
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	De Spiegeleer, Jan Schoutens, Wim Marquet, Ine
Auflage:	1st ed. 2018
Hersteller:	Springer International Publishing Springer International Publishing AG SpringerBriefs in Finance
Maße:	235 x 155 x 7 mm
Von/Mit:	Jan De Spiegeleer (u. a.)
Erscheinungsdatum:	13.11.2018
Gewicht:	0,189 kg