LEADER 00642nam0-22002651i-450- 001 990001236530403321 035 $a000123653 035 $aFED01000123653 035 $a(Aleph)000123653FED01 035 $a000123653 100 $a20000920d????----km-y0itay50------ba 101 0 $aeng 200 1 $aCalcolo$fG. Torelli 210 $as.l.$cAlvano$ds.d. 610 0 $aCalcolo$aManuali 676 $a515 700 1$aTorelli,$bGabriele$05799 801 0$aIT$bUNINA$gRICA$2UNIMARC 901 $aBK 912 $a990001236530403321 952 $a1-D-16$b02559$fMA1 959 $aMA1 996 $aCalcolo$9382319 997 $aUNINA DB $aING01 LEADER 04410nam 22006975 450 001 9910300104703321 005 20200701025615.0 010 $a3-030-01824-5 024 7 $a10.1007/978-3-030-01824-5 035 $a(CKB)4100000007111081 035 $a(MiAaPQ)EBC5592867 035 $a(DE-He213)978-3-030-01824-5 035 $a(PPN)232472068 035 $a(EXLCZ)994100000007111081 100 $a20181102d2018 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 14$aThe Risk Management of Contingent Convertible (CoCo) Bonds /$fby Jan De Spiegeleer, Ine Marquet, Wim Schoutens 205 $a1st ed. 2018. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2018. 215 $a1 online resource (viii, 106 pages) $cillustrations 225 1 $aSpringerBriefs in Finance,$x2193-1720 311 $a3-030-01823-7 327 $aPreface. - 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. 330 $aThis book provides an overview of the risk components of CoCo bonds. CoCos are hybrid financial instruments that convert into equity or suffer a write-down of the face value upon the appearance of a trigger event. The loss-absorption mechanism is automatically enforced either via the breaching of a particular accounting ratio, typically in terms of the Common Equity Tier 1 (CET1) ratio, or via a regulatory trigger. CoCos are non-standardised instruments with different loss-absorption and trigger mechanisms. They might also contain additional features such as the cancellation of coupon payments. Different pricing models are discussed in detail. These models use market data such as share prices, CDS levels and implied volatility in order to calculate the theoretical price of a CoCo bond and its sensitivities, providing the investor with insides to hedge from adverse changes in the market conditions. The audience are professionals as well as academics who want to learn how to risk manage CoCo bonds using cutting edge techniques as well as all the risk involved in CoCo bonds. 410 0$aSpringerBriefs in Finance,$x2193-1720 606 $aEconomics, Mathematical 606 $aFinancial engineering 606 $aStatistics 606 $aFinance?Mathematics 606 $aProbabilities 606 $aRisk management 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aFinancial Engineering$3https://scigraph.springernature.com/ontologies/product-market-codes/612020 606 $aStatistics for Business, Management, Economics, Finance, Insurance$3https://scigraph.springernature.com/ontologies/product-market-codes/S17010 606 $aFinancial Mathematics$3https://scigraph.springernature.com/ontologies/product-market-codes/M13140 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aRisk Management$3https://scigraph.springernature.com/ontologies/product-market-codes/612040 615 0$aEconomics, Mathematical. 615 0$aFinancial engineering. 615 0$aStatistics. 615 0$aFinance?Mathematics. 615 0$aProbabilities. 615 0$aRisk management. 615 14$aQuantitative Finance. 615 24$aFinancial Engineering. 615 24$aStatistics for Business, Management, Economics, Finance, Insurance. 615 24$aFinancial Mathematics. 615 24$aProbability Theory and Stochastic Processes. 615 24$aRisk Management. 676 $a332.6323 700 $aDe Spiegeleer$b Jan$4aut$4http://id.loc.gov/vocabulary/relators/aut$0767926 702 $aMarquet$b Ine$4aut$4http://id.loc.gov/vocabulary/relators/aut 702 $aSchoutens$b Wim$4aut$4http://id.loc.gov/vocabulary/relators/aut 906 $aBOOK 912 $a9910300104703321 996 $aThe Risk Management of Contingent Convertible (CoCo) Bonds$92057006 997 $aUNINA