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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:	De Spiegeleer, Jan.
other author:	Marquet, Ine.
Description:	VIII, 106 p. 43 illus., 25 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Economics, Mathematical . -
Online resource:	https://doi.org/10.1007/978-3-030-01824-5
ISBN:	9783030018245

The Risk Management of Contingent Convertible (CoCo) Bonds
De Spiegeleer, Jan.

The Risk Management of Contingent Convertible (CoCo) Bonds[electronic resource] /by Jan De Spiegeleer, Ine Marquet, Wim Schoutens. - 1st ed. 2018. - VIII, 106 p. 43 illus., 25 illus. in color.online resource. - SpringerBriefs in Finance,2193-1720. - SpringerBriefs in Finance,.

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.

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:

1253712
Economics, Mathematical .

LC Class. No.: HB135-147

Dewey Class. No.: 519

The Risk Management of Contingent Convertible (CoCo) Bonds
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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.
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