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The Risk Management of Contingent Convertible (CoCo) Bonds

  • Jan De Spiegeleer
  • Ine Marquet
  • Wim Schoutens

Part of the SpringerBriefs in Finance book series (BRIEFSFINANCE)

Table of contents

  1. Front Matter
    Pages i-viii
  2. Jan De Spiegeleer, Ine Marquet, Wim Schoutens
    Pages 1-21
  3. Jan De Spiegeleer, Ine Marquet, Wim Schoutens
    Pages 23-33
  4. Jan De Spiegeleer, Ine Marquet, Wim Schoutens
    Pages 35-49
  5. Jan De Spiegeleer, Ine Marquet, Wim Schoutens
    Pages 51-68
  6. Jan De Spiegeleer, Ine Marquet, Wim Schoutens
    Pages 69-79
  7. Jan De Spiegeleer, Ine Marquet, Wim Schoutens
    Pages 81-97
  8. Jan De Spiegeleer, Ine Marquet, Wim Schoutens
    Pages 99-101
  9. Back Matter
    Pages 103-106

About this book

Introduction

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.


Keywords

CoCo bonds Contingent capital Risk-management Capital instruments Contingent convertibles

Authors and affiliations

  • Jan De Spiegeleer
    • 1
  • Ine Marquet
    • 2
  • Wim Schoutens
    • 3
  1. 1.Department of MathematicsUniversity of LeuvenLeuvenBelgium
  2. 2.Sint-TruidenBelgium
  3. 3.Department of MathematicsUniversity of LeuvenLeuvenBelgium

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-030-01824-5
  • Copyright Information The Author(s), under exclusive license to Springer Nature Switzerland AG 2018
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-030-01823-8
  • Online ISBN 978-3-030-01824-5
  • Series Print ISSN 2193-1720
  • Series Online ISSN 2193-1739
  • Buy this book on publisher's site