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The risk management of contingent convertible (CoCo) bonds

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	The risk management of contingent convertible (CoCo) bonds/ by Jan De Spiegeleer, Ine Marquet, Wim Schoutens.
作者:	Spiegeleer, Jan de.
其他作者:	Marquet, Ine.
出版者:	Cham :Springer International Publishing : : 2018.,
面頁冊數:	viii, 106 p. :ill. (some col.), digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Convertible bonds. -
電子資源:	https://doi.org/10.1007/978-3-030-01824-5
ISBN:	9783030018245

The risk management of contingent convertible (CoCo) bonds
Spiegeleer, Jan de.

The risk management of contingent convertible (CoCo) bonds[electronic resource] /by Jan De Spiegeleer, Ine Marquet, Wim Schoutens. - Cham :Springer International Publishing :2018. - viii, 106 p. :ill. (some col.), digital ;24 cm. - SpringerBriefs in finance,2193-1720. - SpringerBriefs in finance..

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.

ISBN: 9783030018245

Standard No.: 10.1007/978-3-030-01824-5doiSubjects--Topical Terms:

1210555
Convertible bonds.

LC Class. No.: HG4651 / .S654 2018

Dewey Class. No.: 332.6323

The risk management of contingent convertible (CoCo) bonds
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