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The risk management of contingent convertible (CoCo) bonds

Record Type:	Language materials, printed : Monograph/item
Title/Author:	The risk management of contingent convertible (CoCo) bonds/ by Jan De Spiegeleer, Ine Marquet, Wim Schoutens.
Author:	Spiegeleer, Jan de.
other author:	Marquet, Ine.
Published:	Cham :Springer International Publishing : : 2018.,
Description:	viii, 106 p. :ill. (some col.), digital ; : 24 cm.;
Contained By:	Springer eBooks
Subject:	Convertible bonds. -
Online resource:	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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245 1 4 $a The risk management of contingent convertible (CoCo) bonds $h [electronic resource] / $c by Jan De Spiegeleer, Ine Marquet, Wim Schoutens.
260 $a Cham : $c 2018. $b Springer International Publishing : $b Imprint: Springer,
300 $a viii, 106 p. : $b ill. (some col.), digital ; $c 24 cm.
490 1 $a SpringerBriefs in finance, $x 2193-1720
520 $a 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.
650 0 $a Convertible bonds. $3 1210555
650 1 4 $a Quantitative Finance. $3 669372
650 2 4 $a Financial Engineering. $3 1107684
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 669275
650 2 4 $a Financial Mathematics. $3 1204870
650 2 4 $a Probability Theory and Stochastic Processes. $3 593945
650 2 4 $a Risk Management. $3 569483
700 1 $a Marquet, Ine. $3 1210554
700 1 $a Schoutens, Wim. $3 1071708
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