The handbook of hybrid securities: convertible bonds, coco bonds, and bail-in
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Chichester, West Sussex, United Kingdom
Wiley
2014
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | TUM01 Volltext |
| Beschreibung: | Includes bibliographical references and index Machine generated contents note: 1 Hybrid Assets 1 1.1 Introduction 1 1.2 Hybrid Capital 1 1.3 Preferreds 4 1.4 Convertible Bonds 7 1.5 Contingent Convertibles 9 1.6 Other Types of Hybrid Debt 10 1.7 Regulation 20 1.8 Bail-In Capital 22 1.9 Risk and Rating 24 1.10 Conclusion 25 2 Convertible Bonds 27 2.1 Introduction 27 2.2 Anatomy of a Convertible Bond 30 2.3 Convertible Bond Arbitrage 51 2.4 Standard Features 65 2.5 Additional Features 82 2.6 Other Convertible Bond Types 88 2.7 Convertible Bond Terminology 95 2.8 Convertible Bond Market 102 2.9 Conclusion 106 3 Contingent Convertibles (CoCos) 107 3.1 Introduction 107 3.2 Definition 109 3.3 Anatomy 110 3.4 CoCos and Convertible Bonds 121 3.5 CoCos and Regulations 125 3.6 Ranking in the Balance Sheet 150 3.7 Alternative Structures 151 3.8 Contingent Capital : Pro and Contra 152 4 Corporate Hybrids 159 4.1 Introduction 159 4.2 Issuer of Hybrid Debt 160 4.3 Investing in Hybrid Debt 160 4.4 Structure of a Corporate Hybrid Bond 161 4.5 - View of Rating Agencies 170 4.6 Risk in Hybrid Bonds 170 4.7 Convexity In Hybrid Bonds 173 4.8 Equity Character of Hybrid Bonds 177 5 Bail-in Bonds 181 5.1 Introduction 181 5.2 Definition 183 5.3 Resolution Regime 184 5.4 Case Studies 191 5.5 Consequences of Bail-in 195 5.6 Conclusion 197 6 Modeling Hybrids : An Introduction 199 6.1 Introduction 199 6.2 Heuristic Approaches 200 6.3 Building Models 205 6.4 How many factors ? 213 6.5 Sensitivity Analysis 217 7 Modeling Hybrids: Stochastic Processes 225 7.1 Introduction 225 7.2 Probability Density Functions 226 7.3 Brownian Motion 232 7.4 Ito Process 233 7.5 Poisson Process 243 8 Modeling Hybrids : Risk Neutrality 251 8.1 Introduction 251 8.2 Closed Form Solution 255 8.3 Tree-based methods 264 8.4 Finite Di↵erence Technique 289 8.5 Monte Carlo 290 9 Modeling Hybrids: Advanced Issues 299 9.1 Tail Risk in Hybrids 299 9.2 Jump-Di↵usion 301 9.3 Correlation 323 9.4 Structural Models 337 9.5 Conclusion 340 10 Modeling Hybrids : - Handling Credit 343 10.1 Credit Spread 343 10.2 Default Intensity 348 10.3 Credit Default Swaps 350 10.4 Credit Triangle 365 10.5 Stochastic Credit 370 11 Constant Elasticity of Variance (CEV) 373 11.1 From Black-Scholes to CEV 373 11.2 Historical Parameter Estimation 378 11.3 Valuation : Analytical Solution 383 11.4 Valuation : Trinomial Trees for CEV 386 11.5 Jump-Extended CEV Process 394 11.6 Case Study : Pricing Mandatories with CEV 398 11.7 Case Study : Pricing Convertibles with a Reset 400 11.8 Calibration of CEV 410 12 Pricing Contingent Debt 417 12.1 Introduction 417 12.2 Credit Derivatives Method 418 12.3 Equity Derivatives Method 425 12.4 Coupon Deferral 439 12.5 Using Lattice Models 445 12.6 Linking Credit to Equity 447 12.7 CoCos with Upside : CoCoCo 455 12.8 Adding Stochastic Credit 460 12.9 Avoiding Death Spirals 467 12.10Appendix : Pricing Contingent Debt on a Trinomial Tree 470 13 Multi-Factor Models for Hybrids 479 13.1 Introduction 479 13.2 Early Exercise 481 13.3 - American Monte Carlo 486 13.4 Multi-Factor Models 501 13.5 Conclusion 511 "Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk managementTo an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators "-- |
| Beschreibung: | 1 Online-Ressource (xvi, 390 pages) |
| ISBN: | 1118450000 1118450027 1118862651 9781118450000 9781118450024 9781118862650 |
Internformat
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| 100 | 1 | |a De Spiegeleer, Jan |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The handbook of hybrid securities |b convertible bonds, coco bonds, and bail-in |c Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle |
| 264 | 1 | |a Chichester, West Sussex, United Kingdom |b Wiley |c 2014 | |
| 300 | |a 1 Online-Ressource (xvi, 390 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a Machine generated contents note: 1 Hybrid Assets 1 1.1 Introduction 1 1.2 Hybrid Capital 1 1.3 Preferreds 4 1.4 Convertible Bonds 7 1.5 Contingent Convertibles 9 1.6 Other Types of Hybrid Debt 10 1.7 Regulation 20 1.8 Bail-In Capital 22 1.9 Risk and Rating 24 1.10 Conclusion 25 2 Convertible Bonds 27 2.1 Introduction 27 2.2 Anatomy of a Convertible Bond 30 2.3 Convertible Bond Arbitrage 51 2.4 Standard Features 65 2.5 Additional Features 82 2.6 Other Convertible Bond Types 88 2.7 Convertible Bond Terminology 95 2.8 Convertible Bond Market 102 2.9 Conclusion 106 3 Contingent Convertibles (CoCos) 107 3.1 Introduction 107 3.2 Definition 109 3.3 Anatomy 110 3.4 CoCos and Convertible Bonds 121 3.5 CoCos and Regulations 125 3.6 Ranking in the Balance Sheet 150 3.7 Alternative Structures 151 3.8 Contingent Capital : Pro and Contra 152 4 Corporate Hybrids 159 4.1 Introduction 159 4.2 Issuer of Hybrid Debt 160 4.3 Investing in Hybrid Debt 160 4.4 Structure of a Corporate Hybrid Bond 161 4.5 | ||
| 500 | |a - View of Rating Agencies 170 4.6 Risk in Hybrid Bonds 170 4.7 Convexity In Hybrid Bonds 173 4.8 Equity Character of Hybrid Bonds 177 5 Bail-in Bonds 181 5.1 Introduction 181 5.2 Definition 183 5.3 Resolution Regime 184 5.4 Case Studies 191 5.5 Consequences of Bail-in 195 5.6 Conclusion 197 6 Modeling Hybrids : An Introduction 199 6.1 Introduction 199 6.2 Heuristic Approaches 200 6.3 Building Models 205 6.4 How many factors ? 213 6.5 Sensitivity Analysis 217 7 Modeling Hybrids: Stochastic Processes 225 7.1 Introduction 225 7.2 Probability Density Functions 226 7.3 Brownian Motion 232 7.4 Ito Process 233 7.5 Poisson Process 243 8 Modeling Hybrids : Risk Neutrality 251 8.1 Introduction 251 8.2 Closed Form Solution 255 8.3 Tree-based methods 264 8.4 Finite Di↵erence Technique 289 8.5 Monte Carlo 290 9 Modeling Hybrids: Advanced Issues 299 9.1 Tail Risk in Hybrids 299 9.2 Jump-Di↵usion 301 9.3 Correlation 323 9.4 Structural Models 337 9.5 Conclusion 340 10 Modeling Hybrids : | ||
| 500 | |a - Handling Credit 343 10.1 Credit Spread 343 10.2 Default Intensity 348 10.3 Credit Default Swaps 350 10.4 Credit Triangle 365 10.5 Stochastic Credit 370 11 Constant Elasticity of Variance (CEV) 373 11.1 From Black-Scholes to CEV 373 11.2 Historical Parameter Estimation 378 11.3 Valuation : Analytical Solution 383 11.4 Valuation : Trinomial Trees for CEV 386 11.5 Jump-Extended CEV Process 394 11.6 Case Study : Pricing Mandatories with CEV 398 11.7 Case Study : Pricing Convertibles with a Reset 400 11.8 Calibration of CEV 410 12 Pricing Contingent Debt 417 12.1 Introduction 417 12.2 Credit Derivatives Method 418 12.3 Equity Derivatives Method 425 12.4 Coupon Deferral 439 12.5 Using Lattice Models 445 12.6 Linking Credit to Equity 447 12.7 CoCos with Upside : CoCoCo 455 12.8 Adding Stochastic Credit 460 12.9 Avoiding Death Spirals 467 12.10Appendix : Pricing Contingent Debt on a Trinomial Tree 470 13 Multi-Factor Models for Hybrids 479 13.1 Introduction 479 13.2 Early Exercise 481 13.3 | ||
| 500 | |a - American Monte Carlo 486 13.4 Multi-Factor Models 501 13.5 Conclusion 511 | ||
| 500 | |a "Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk managementTo an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators "-- | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 7 | |a Convertible bonds |2 fast | |
| 650 | 7 | |a Convertible securities |2 fast | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Convertible securities |v Handbooks, manuals, etc | |
| 650 | 4 | |a Convertible bonds |v Handbooks, manuals, etc | |
| 700 | 1 | |a Schoutens, Wim |e Verfasser |4 aut | |
| 700 | 1 | |a Van Hulle, Cynthia M. |e Verfasser |0 (DE-588)170367029 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe, Hardcover |z 978-1-118-44999-8 |
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Datensatz im Suchindex
| _version_ | 1804174954663510016 |
|---|---|
| any_adam_object | |
| author | De Spiegeleer, Jan Schoutens, Wim Van Hulle, Cynthia M. |
| author_GND | (DE-588)170367029 |
| author_facet | De Spiegeleer, Jan Schoutens, Wim Van Hulle, Cynthia M. |
| author_role | aut aut aut |
| author_sort | De Spiegeleer, Jan |
| author_variant | s j d sj sjd w s ws h c m v hcm hcmv |
| building | Verbundindex |
| bvnumber | BV042740298 |
| collection | ZDB-4-NLEBK |
| ctrlnum | (OCoLC)870211397 (DE-599)BVBBV042740298 |
| dewey-full | 332.63/2044 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2044 |
| dewey-search | 332.63/2044 |
| dewey-sort | 3332.63 42044 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042740298 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:08:36Z |
| institution | BVB |
| isbn | 1118450000 1118450027 1118862651 9781118450000 9781118450024 9781118862650 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028171170 |
| oclc_num | 870211397 |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM |
| owner_facet | DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource (xvi, 390 pages) |
| psigel | ZDB-4-NLEBK ZDB-4-NLEBK TUM_PDA_EBSCOBAE_gekauft |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | De Spiegeleer, Jan Verfasser aut The handbook of hybrid securities convertible bonds, coco bonds, and bail-in Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle Chichester, West Sussex, United Kingdom Wiley 2014 1 Online-Ressource (xvi, 390 pages) txt rdacontent c rdamedia cr rdacarrier Wiley finance series Includes bibliographical references and index Machine generated contents note: 1 Hybrid Assets 1 1.1 Introduction 1 1.2 Hybrid Capital 1 1.3 Preferreds 4 1.4 Convertible Bonds 7 1.5 Contingent Convertibles 9 1.6 Other Types of Hybrid Debt 10 1.7 Regulation 20 1.8 Bail-In Capital 22 1.9 Risk and Rating 24 1.10 Conclusion 25 2 Convertible Bonds 27 2.1 Introduction 27 2.2 Anatomy of a Convertible Bond 30 2.3 Convertible Bond Arbitrage 51 2.4 Standard Features 65 2.5 Additional Features 82 2.6 Other Convertible Bond Types 88 2.7 Convertible Bond Terminology 95 2.8 Convertible Bond Market 102 2.9 Conclusion 106 3 Contingent Convertibles (CoCos) 107 3.1 Introduction 107 3.2 Definition 109 3.3 Anatomy 110 3.4 CoCos and Convertible Bonds 121 3.5 CoCos and Regulations 125 3.6 Ranking in the Balance Sheet 150 3.7 Alternative Structures 151 3.8 Contingent Capital : Pro and Contra 152 4 Corporate Hybrids 159 4.1 Introduction 159 4.2 Issuer of Hybrid Debt 160 4.3 Investing in Hybrid Debt 160 4.4 Structure of a Corporate Hybrid Bond 161 4.5 - View of Rating Agencies 170 4.6 Risk in Hybrid Bonds 170 4.7 Convexity In Hybrid Bonds 173 4.8 Equity Character of Hybrid Bonds 177 5 Bail-in Bonds 181 5.1 Introduction 181 5.2 Definition 183 5.3 Resolution Regime 184 5.4 Case Studies 191 5.5 Consequences of Bail-in 195 5.6 Conclusion 197 6 Modeling Hybrids : An Introduction 199 6.1 Introduction 199 6.2 Heuristic Approaches 200 6.3 Building Models 205 6.4 How many factors ? 213 6.5 Sensitivity Analysis 217 7 Modeling Hybrids: Stochastic Processes 225 7.1 Introduction 225 7.2 Probability Density Functions 226 7.3 Brownian Motion 232 7.4 Ito Process 233 7.5 Poisson Process 243 8 Modeling Hybrids : Risk Neutrality 251 8.1 Introduction 251 8.2 Closed Form Solution 255 8.3 Tree-based methods 264 8.4 Finite Di↵erence Technique 289 8.5 Monte Carlo 290 9 Modeling Hybrids: Advanced Issues 299 9.1 Tail Risk in Hybrids 299 9.2 Jump-Di↵usion 301 9.3 Correlation 323 9.4 Structural Models 337 9.5 Conclusion 340 10 Modeling Hybrids : - Handling Credit 343 10.1 Credit Spread 343 10.2 Default Intensity 348 10.3 Credit Default Swaps 350 10.4 Credit Triangle 365 10.5 Stochastic Credit 370 11 Constant Elasticity of Variance (CEV) 373 11.1 From Black-Scholes to CEV 373 11.2 Historical Parameter Estimation 378 11.3 Valuation : Analytical Solution 383 11.4 Valuation : Trinomial Trees for CEV 386 11.5 Jump-Extended CEV Process 394 11.6 Case Study : Pricing Mandatories with CEV 398 11.7 Case Study : Pricing Convertibles with a Reset 400 11.8 Calibration of CEV 410 12 Pricing Contingent Debt 417 12.1 Introduction 417 12.2 Credit Derivatives Method 418 12.3 Equity Derivatives Method 425 12.4 Coupon Deferral 439 12.5 Using Lattice Models 445 12.6 Linking Credit to Equity 447 12.7 CoCos with Upside : CoCoCo 455 12.8 Adding Stochastic Credit 460 12.9 Avoiding Death Spirals 467 12.10Appendix : Pricing Contingent Debt on a Trinomial Tree 470 13 Multi-Factor Models for Hybrids 479 13.1 Introduction 479 13.2 Early Exercise 481 13.3 - American Monte Carlo 486 13.4 Multi-Factor Models 501 13.5 Conclusion 511 "Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk managementTo an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators "-- BUSINESS & ECONOMICS / Finance bisacsh Convertible bonds fast Convertible securities fast Wirtschaft Convertible securities Handbooks, manuals, etc Convertible bonds Handbooks, manuals, etc Schoutens, Wim Verfasser aut Van Hulle, Cynthia M. Verfasser (DE-588)170367029 aut Erscheint auch als Druck-Ausgabe, Hardcover 978-1-118-44999-8 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=827486 Aggregator Volltext |
| spellingShingle | De Spiegeleer, Jan Schoutens, Wim Van Hulle, Cynthia M. The handbook of hybrid securities convertible bonds, coco bonds, and bail-in BUSINESS & ECONOMICS / Finance bisacsh Convertible bonds fast Convertible securities fast Wirtschaft Convertible securities Handbooks, manuals, etc Convertible bonds Handbooks, manuals, etc |
| title | The handbook of hybrid securities convertible bonds, coco bonds, and bail-in |
| title_auth | The handbook of hybrid securities convertible bonds, coco bonds, and bail-in |
| title_exact_search | The handbook of hybrid securities convertible bonds, coco bonds, and bail-in |
| title_full | The handbook of hybrid securities convertible bonds, coco bonds, and bail-in Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle |
| title_fullStr | The handbook of hybrid securities convertible bonds, coco bonds, and bail-in Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle |
| title_full_unstemmed | The handbook of hybrid securities convertible bonds, coco bonds, and bail-in Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle |
| title_short | The handbook of hybrid securities |
| title_sort | the handbook of hybrid securities convertible bonds coco bonds and bail in |
| title_sub | convertible bonds, coco bonds, and bail-in |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Convertible bonds fast Convertible securities fast Wirtschaft Convertible securities Handbooks, manuals, etc Convertible bonds Handbooks, manuals, etc |
| topic_facet | BUSINESS & ECONOMICS / Finance Convertible bonds Convertible securities Wirtschaft Convertible securities Handbooks, manuals, etc Convertible bonds Handbooks, manuals, etc |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=827486 |
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