Contingent Convertible (CoCo) Notes: Structure & Pricing - Couverture souple

De Speigeleer, Jan; Schoutens, Wim

Couverture souple

ISBN 10 : 1843747642 ISBN 13 : 9781843747642

Editeur : Euromoney Books, 2011

A propos du livre

Présentation de l'éditeur

Contingent convertible notes (CoCo) made a very modest entry into the financial landscape in November 2009, when LLoyds TSB offered the holders of some of its hybrid debt the possibility to swap these holdings into a new bond with CoCo-features. A CoCo stands for a bond that will be converted into equity as soon as the bank gets into a life threatening situation. As soon as the solvency of the bank drops below acceptable standards, the bonds are converted into equity. This creates a dilution for the existing shareholders, but the solvency of the bank is improved under circumstances in which it would be typically difficult, if not impossible, to go to the capital markets directly. Some regulators continued on the route of Lloyds TSB. They now advocate the use of these bonds as soon as a bank represents too much systemic risk for the banking system. Some banks are already engineering new CoCo-note types or consider paying out CoCo-bonuses. For regulators, issuing banks, rating agencies, investors and trading desks around the globe. This makes this book a must read for everybody who wants to understand this asset class.

Biographie de l'auteur

Jan De Spiegeleer (Geneva, Switzerland) is head of risk management at Jabre Capital Partners, a Geneva-based hedge fund. He earned an extensive knowledge of derivatives pricing, hedging and trading while working for KBC Financial Products in London, where he was managing director of the equity derivatives desk. Prior to this financial career, Jan spend ten years as an officer in the Belgian Army during which he also served in Iraq. Wim Schoutens (Leuven, Belgium) is a research professor in financial engineering in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. Wim is the author of Lévy Processes in Finance and Lévy Processes in Credit Risk and co-editor of Exotic Option Pricing and Advanced Lévy Models both published by Wiley. He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance, Quantitative Finance and Review of Derivatives Research.

Détails de l'édition

• Éditeur: Euromoney Books
• Date d'édition: 2011
• Langue: anglais
• ISBN 10: 1843747642
• ISBN 13: 9781843747642
• Reliure: Broché
• Nombre de pages: 138
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible