The Resource The Risk Management of Contingent Convertible (CoCo) Bonds, by Jan De Spiegeleer, Ine Marquet, Wim Schoutens, (electronic resource)

The Risk Management of Contingent Convertible (CoCo) Bonds, by Jan De Spiegeleer, Ine Marquet, Wim Schoutens, (electronic resource)

Label
The Risk Management of Contingent Convertible (CoCo) Bonds
Title
The Risk Management of Contingent Convertible (CoCo) Bonds
Statement of responsibility
by Jan De Spiegeleer, Ine Marquet, Wim Schoutens
Creator
Contributor
Author
Author
Subject
Language
eng
Summary
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
Member of
http://library.link/vocab/creatorName
De Spiegeleer, Jan
Dewey number
332.6323
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
  • NW0zX9o8gEY
  • k7SBEdRKCHo
  • l4Hor9LFi4s
LC call number
HB135-147
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Marquet, Ine.
  • Schoutens, Wim.
Series statement
SpringerBriefs in Finance,
http://library.link/vocab/subjectName
  • Finance
  • Financial engineering
  • Statistics
  • Finance—Mathematics
  • Distribution (Probability theory
  • Risk management
  • Quantitative Finance
  • Financial Engineering
  • Statistics for Business, Management, Economics, Finance, Insurance
  • Financial Mathematics
  • Probability Theory and Stochastic Processes
  • Risk Management
Label
The Risk Management of Contingent Convertible (CoCo) Bonds, by Jan De Spiegeleer, Ine Marquet, Wim Schoutens, (electronic resource)
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Edition
1st ed. 2018.
Extent
1 online resource (viii, 106 pages)
Form of item
online
Isbn
9783030018245
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-030-01824-5
Other physical details
illustrations.
Sound
unknown sound
Specific material designation
remote
System control number
  • (CKB)4100000007111081
  • (MiAaPQ)EBC5592867
  • (DE-He213)978-3-030-01824-5
  • (EXLCZ)994100000007111081
Label
The Risk Management of Contingent Convertible (CoCo) Bonds, by Jan De Spiegeleer, Ine Marquet, Wim Schoutens, (electronic resource)
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Edition
1st ed. 2018.
Extent
1 online resource (viii, 106 pages)
Form of item
online
Isbn
9783030018245
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-030-01824-5
Other physical details
illustrations.
Sound
unknown sound
Specific material designation
remote
System control number
  • (CKB)4100000007111081
  • (MiAaPQ)EBC5592867
  • (DE-He213)978-3-030-01824-5
  • (EXLCZ)994100000007111081

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