Téléchargez le livre : The Risk Management of Contingent Convertible (CoCo) Bonds

The Risk Management of Contingent Convertible (CoCo) Bonds

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Éditeur :

Springer


Collection :

SpringerBriefs in Finance

Paru le : 2018-11-02

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Description


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.
Pages
106 pages
Collection
SpringerBriefs in Finance
Parution
2018-11-02
Marque
Springer
EAN papier
9783030018238
EAN PDF
9783030018245
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
10
Taille du fichier
3666 Ko
Prix
68,56 €
EAN EPUB
9783030018245
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
10
Taille du fichier
2867 Ko
Prix
68,56 €

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