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The Risk Management of Contingent Convertible (CoCo) Bonds / by Jan De Spiegeleer, Ine Marquet, Wim Schoutens
(SpringerBriefs in Finance. ISSN:21931739)
版 | 1st ed. 2018. |
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出版者 | (Cham : Springer International Publishing : Imprint: Springer) |
出版年 | 2018 |
大きさ | VIII, 106 p. 43 illus., 25 illus. in color : online resource |
著者標目 | *De Spiegeleer, Jan author Marquet, Ine author Schoutens, Wim author SpringerLink (Online service) |
件 名 | LCSH:Social sciences—Mathematics LCSH:Financial engineering LCSH:Statistics LCSH:Probabilities LCSH:Financial risk management FREE:Mathematics in Business, Economics and Finance FREE:Financial Engineering FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Probability Theory FREE:Risk Management |
一般注記 | 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 HTTP:URL=https://doi.org/10.1007/978-3-030-01824-5 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9783030018245 |
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電子リソース |
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EB00199572 |
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※2017年9月4日以降