Authors:
- 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
Part of the book series: SpringerBriefs in Finance (BRIEFSFINANCE)
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Table of contents (7 chapters)
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Front Matter
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Back Matter
About this book
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.
Authors and Affiliations
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Department of Mathematics, University of Leuven, Leuven, Belgium
Jan De Spiegeleer, Wim Schoutens
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Sint-Truiden, Belgium
Ine Marquet
Bibliographic Information
Book Title: The Risk Management of Contingent Convertible (CoCo) Bonds
Authors: Jan De Spiegeleer, Ine Marquet, Wim Schoutens
Series Title: SpringerBriefs in Finance
DOI: https://doi.org/10.1007/978-3-030-01824-5
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s), under exclusive license to Springer Nature Switzerland AG 2018
Softcover ISBN: 978-3-030-01823-8Published: 13 November 2018
eBook ISBN: 978-3-030-01824-5Published: 02 November 2018
Series ISSN: 2193-1720
Series E-ISSN: 2193-1739
Edition Number: 1
Number of Pages: VIII, 106
Number of Illustrations: 18 b/w illustrations, 25 illustrations in colour
Topics: Quantitative Finance, Financial Engineering, Statistics for Business, Management, Economics, Finance, Insurance, Financial Mathematics, Probability Theory and Stochastic Processes, Risk Management