The Risk Management of Contingent Convertible (CoCo) Bonds

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...

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Hlavní autor: De Spiegeleer, Jan (Autor)
Médium: Elektronický zdroj E-kniha
Jazyk:angličtina
Vydáno: Cham : Springer International Publishing, 2018.
Vydání:1st ed. 2018.
Edice:SpringerBriefs in Finance,
Témata:
Economics, Mathematical .
Financial engineering.
Statistics .
Finance-Mathematics.
Probabilities.
Risk management.
ISBN:9783030018245
ISSN:2193-1720
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Obsah:
  • 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.

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