The risk management of Contingent Convertible (CoCo) bonds:
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cham
Springer
[2018]
|
| Series: | Springer briefs in finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | viii, 106 Seiten Diagramme |
| ISBN: | 9783030018238 |
| ISSN: | 2193-1720 |
Staff View
MARC
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| 650 | 4 | |a Financial Mathematics | |
| 650 | 4 | |a Probability Theory and Stochastic Processes | |
| 650 | 4 | |a Risk Management | |
| 650 | 4 | |a Finance | |
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| 650 | 4 | |a Finance—Mathematics | |
| 650 | 4 | |a Distribution (Probability theory | |
| 650 | 4 | |a Risk management | |
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Record in the Search Index
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| adam_text | Contents 1 A Primer on Contingent Convertible (CoCo) Bonds............................ 1.1 WhatisaCoCo?................................................................................ 1.1.1 Write-Down CoCos................ ................................................ 1.1.2 Conversion CoCos................................................................... 1.1.3 Contingent Conversion Convertible Bonds (CoCoCo) .... 1.2 The Trigger Mechanism..................................................................... 1.3 Overview of the Risks....................................................................... 1.3.1 Complexity and Non-standardisation.................................... 1.3.2 Distance to Trigger................................................................ 1.3.3 Non-cumulative Coupon Cancellation................................. 1.3.4 Extension Risk....................................................................... 1.3.5 Recovery Rate......................................................................... 1.3.6 Liquidity Risk ......................................................................... 1.3.7 Negative Convexity................................................................ 1.4 Basel Ш Guidelines and CRD IV Regulation.................................. 1.5 Effectiveness of Issuing CoCos..................................................... ... 1.5.1 Automatic Loss Absorption............ ................................... 1.5.2 Create Right Incentives..................................................... 1.5.3 Tax
Benefit............................................................................... 1.5.4 Proofs of Effect......................................... 1.6 Type of Investors................................................................................ 1.7 CoCo Market....................................................................................... 1.8 Conclusion............................................................................................ 1 1 2 2 4 4 6 7 7 7 8 9 9 10 11 14 14 16 17 17 17 18 20 2 Pricing Models for CoCos................................... 2.1 Credit Derivatives Approach.............................................................. 2.1.1 Credit Triangle................................... ;.................................. 2.1.2 CoCo Pricing ......................... 2.1.3 Recovery Rate........................................................................... 2.1.4 Probability of Triggering................................................. 23 24 25 25 26 27 vii
Contents viii 2.2 2.3 2.4 Equity Derivatives Approach.............................................................. Implied CETI Volatility Model......................................................... Conclusion............................................................................................ 28 31 33 Sensitivity Analysis of CoCos............................................................... 3.1 Hedging CoCos.................................... 3.2 Sensitivity Parameters.......................................................................... 3.2.1 The Greeks................................................................................ 3.2.2 Estimating the Greeks of a CoCo.......................................... 3.3 Beta Coefficient................... 3.4 Goodness-of-Fit................................................................................... 3.5 Conclusion............................................................................................ 35 36 37 37 38 41 42 49 4 Impact of Skewness on the Price of a CoCo.......................................... 4.1 Heston Model..................................................................................... 4.1.1 Pricing of Vanilla Options...................................................... 4.1.2 Pricing of Exotic Options........................................................ 4.1.3 Calibration....................... 4.2 Case Study - Barclays........ ................................................................. 4.3 Sensitivity to Parameters of the Heston Model................................
4.3.1 Example of Barclays’CoCo..................................... 4.3.2 Distressed Versus Non-distressed Situation.......................... 4.4 Implied Volatility Surface .................................................................. 4.5 Conclusions...................................................... 51 52 53 54 55 56 61 62 63 66 68 5 Distance to Trigger................................. 5.1 Distance to Trigger Versus CoCo Spread......................................... 5.2 Adjusted Distance to Trigger.......................... 5.3 Coupon Cancellation Risk........................... 5.4 Conclusion............................................................................................. 69 70 72 74 78 6 Outlier Detection of CoCos............................................................. ,.......... 81 6.1 Value-at֊Risk Equivalent Volatility (VEV)............. ......................... 82 6.1.1 Common Pitfalls..................... 85 6.1.2 Case Study: Risk of Different Asset Classes........................ 88 6.2 Are CoCos Moving Out ofSync?....................................................... 90 6.2.1 Minimum Covariance Determinant (MCD).......................... 92 6.2.2 Measuring the Outliers............................................ 94 6.3 Conclusion..................................................................... . ...................... 97 3 7 Conclusion.......................................................................................
References............................................................................................................ 99 103
|
| any_adam_object | 1 |
| author | De Spiegeleer, Jan Marquet, Ine Schoutens, Wim 1972- |
| author_GND | (DE-588)1032786434 (DE-588)117770871X |
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| author_sort | De Spiegeleer, Jan |
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| dewey-ones | 519 - Probabilities and applied mathematics |
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| dewey-search | 519 |
| dewey-sort | 3519 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV045418840 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:17:37Z |
| institution | BVB |
| isbn | 9783030018238 |
| issn | 2193-1720 |
| language | English |
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| physical | viii, 106 Seiten Diagramme |
| publishDate | 2018 |
| publishDateSearch | 2018 |
| publishDateSort | 2018 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer briefs in finance |
| spelling | De Spiegeleer, Jan Verfasser (DE-588)1032786434 aut The risk management of Contingent Convertible (CoCo) bonds Jan De Spiegeleer, Ine Marquet, Wim Schoutens Cham Springer [2018] © 2018 viii, 106 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Springer briefs in finance 2193-1720 Quantitative Finance Financial Engineering Statistics for Business/Economics/Mathematical Finance/Insurance Financial Mathematics Probability Theory and Stochastic Processes Risk Management Finance Financial engineering Statistics Finance—Mathematics Distribution (Probability theory Risk management Marquet, Ine Verfasser aut Schoutens, Wim 1972- Verfasser (DE-588)117770871X aut Erscheint auch als Online-Ausgabe 978-3-030-01824-5 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030804755&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | De Spiegeleer, Jan Marquet, Ine Schoutens, Wim 1972- The risk management of Contingent Convertible (CoCo) bonds Quantitative Finance Financial Engineering Statistics for Business/Economics/Mathematical Finance/Insurance Financial Mathematics Probability Theory and Stochastic Processes Risk Management Finance Financial engineering Statistics Finance—Mathematics Distribution (Probability theory Risk management |
| title | The risk management of Contingent Convertible (CoCo) bonds |
| title_auth | The risk management of Contingent Convertible (CoCo) bonds |
| title_exact_search | The risk management of Contingent Convertible (CoCo) bonds |
| title_full | The risk management of Contingent Convertible (CoCo) bonds Jan De Spiegeleer, Ine Marquet, Wim Schoutens |
| title_fullStr | The risk management of Contingent Convertible (CoCo) bonds Jan De Spiegeleer, Ine Marquet, Wim Schoutens |
| title_full_unstemmed | The risk management of Contingent Convertible (CoCo) bonds Jan De Spiegeleer, Ine Marquet, Wim Schoutens |
| title_short | The risk management of Contingent Convertible (CoCo) bonds |
| title_sort | the risk management of contingent convertible coco bonds |
| topic | Quantitative Finance Financial Engineering Statistics for Business/Economics/Mathematical Finance/Insurance Financial Mathematics Probability Theory and Stochastic Processes Risk Management Finance Financial engineering Statistics Finance—Mathematics Distribution (Probability theory Risk management |
| topic_facet | Quantitative Finance Financial Engineering Statistics for Business/Economics/Mathematical Finance/Insurance Financial Mathematics Probability Theory and Stochastic Processes Risk Management Finance Financial engineering Statistics Finance—Mathematics Distribution (Probability theory Risk management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030804755&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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