04418nam 22006975 450 991030010470332120200701025615.03-030-01824-510.1007/978-3-030-01824-5(CKB)4100000007111081(MiAaPQ)EBC5592867(DE-He213)978-3-030-01824-5(PPN)232472068(EXLCZ)99410000000711108120181102d2018 u| 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierThe Risk Management of Contingent Convertible (CoCo) Bonds /by Jan De Spiegeleer, Ine Marquet, Wim Schoutens1st ed. 2018.Cham :Springer International Publishing :Imprint: Springer,2018.1 online resource (viii, 106 pages) illustrationsSpringerBriefs in Finance,2193-17203-030-01823-7 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.SpringerBriefs in Finance,2193-1720Economics, Mathematical Financial engineeringStatistics Finance—MathematicsProbabilitiesRisk managementQuantitative Financehttps://scigraph.springernature.com/ontologies/product-market-codes/M13062Financial Engineeringhttps://scigraph.springernature.com/ontologies/product-market-codes/612020Statistics for Business, Management, Economics, Finance, Insurancehttps://scigraph.springernature.com/ontologies/product-market-codes/S17010Financial Mathematicshttps://scigraph.springernature.com/ontologies/product-market-codes/M13140Probability Theory and Stochastic Processeshttps://scigraph.springernature.com/ontologies/product-market-codes/M27004Risk Managementhttps://scigraph.springernature.com/ontologies/product-market-codes/612040Economics, Mathematical .Financial engineering.Statistics .Finance—Mathematics.Probabilities.Risk management.Quantitative Finance.Financial Engineering.Statistics for Business, Management, Economics, Finance, Insurance.Financial Mathematics.Probability Theory and Stochastic Processes.Risk Management.332.6323De Spiegeleer Janauthttp://id.loc.gov/vocabulary/relators/aut767926Marquet Ineauthttp://id.loc.gov/vocabulary/relators/autSchoutens Wimauthttp://id.loc.gov/vocabulary/relators/autBOOK9910300104703321The Risk Management of Contingent Convertible (CoCo) Bonds2057006UNINA