| 书目名称 | The Risk Management of Contingent Convertible (CoCo) Bonds |
| 编辑 | Jan De Spiegeleer,Ine Marquet,Wim Schoutens |
| 视频video | |
| 概述 | Provides a primer on CoCo Bonds.Gives an overview of pricing models for these hybrid instruments.Describes how to risk-manage contingent convertibles using sophisticated cutting edge techniques |
| 丛书名称 | SpringerBriefs in Finance |
| 图书封面 |  |
| 描述 | .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.. |
| 出版日期 | Book 2018 |
| 关键词 | CoCo bonds; Contingent capital; Risk-management; Capital instruments; Contingent convertibles; quantitati |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-030-01824-5 |
| isbn_softcover | 978-3-030-01823-8 |
| isbn_ebook | 978-3-030-01824-5Series ISSN 2193-1720 Series E-ISSN 2193-1739 |
| issn_series | 2193-1720 |
| copyright | The Author(s), under exclusive license to Springer Nature Switzerland AG 2018 |
发表于 2025-3-21 19:26:17
