The Risk Management of Contingent Convertible (CoCo) Bonds - Couverture souple

Livre 23 sur 30: SpringerBriefs in Finance

De Spiegeleer, Jan; Marquet, Ine; Schoutens, Wim

 
9783030018238: The Risk Management of Contingent Convertible (CoCo) Bonds
Couverture souple
ISBN 10 : 3030018237 ISBN 13 : 9783030018238
Editeur : Springer, 2018

Synopsis

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.


Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer
Date d'édition
2018
Langue
anglais
ISBN 10 
3030018237
ISBN 13 
9783030018238
Reliure
Broché
Numéro d'édition
1
Nombre de pages
116
Coordonnées du fabricant
ProductSafety@springernature.com
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