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Financial risk management for cryptocurrencies / / Eline Van der Auwera, Wim Schoutens, Marco Petracco Giudici, Lucia Alessi
| Financial risk management for cryptocurrencies / / Eline Van der Auwera, Wim Schoutens, Marco Petracco Giudici, Lucia Alessi |
| Autore | Auwera Eline van der |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2020] |
| Descrizione fisica | 1 online resource (xii, 114 pages) : 42 illustrations (40 illustrations in color) |
| Disciplina | 332.4 |
| Collana | SpringerBriefs in Finance |
| Soggetto topico |
Cryptocurrencies
Financial risk management Economics, Mathematical Banks and banking Risk management Investment banking Securities |
| ISBN | 3-030-51093-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I: Introduction to cryptocurrencies -- Blockchain -- Types of cryptocurrencies -- Part II: Risk in dealing with cryptocurrencies -- Qualitative risks -- Quantitative risks -- Futures and options on cryptocurrencies -- Portfolio management -- Further related work -- Part III: Summary and conclusion -- Conclusion. |
| Record Nr. | UNISA-996418267203316 |
Auwera Eline van der
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| Cham, Switzerland : , : Springer, , [2020] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Financial Risk Management for Cryptocurrencies / / by Eline Van der Auwera, Wim Schoutens, Marco Petracco Giudici, Lucia Alessi
| Financial Risk Management for Cryptocurrencies / / by Eline Van der Auwera, Wim Schoutens, Marco Petracco Giudici, Lucia Alessi |
| Autore | Auwera Eline van der |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 |
| Descrizione fisica | 1 online resource (xii, 114 pages) : 42 illustrations (40 illustrations in color) |
| Disciplina | 332.4 |
| Collana | SpringerBriefs in Finance |
| Soggetto topico |
Social sciences - Mathematics
Financial services industry Financial risk management Mathematics in Business, Economics and Finance Financial Services Risk Management |
| ISBN | 3-030-51093-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I: Introduction to cryptocurrencies -- Blockchain -- Types of cryptocurrencies -- Part II: Risk in dealing with cryptocurrencies -- Qualitative risks -- Quantitative risks -- Futures and options on cryptocurrencies -- Portfolio management -- Further related work -- Part III: Summary and conclusion -- Conclusion. |
| Record Nr. | UNINA-9910483491103321 |
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Auwera Eline van der
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The handbook of convertible bonds [[electronic resource] ] : pricing, strategies and risk management / / Jan De Spiegeleer and Wim Schoutens ; [foreword by Philippe Jabre]
| The handbook of convertible bonds [[electronic resource] ] : pricing, strategies and risk management / / Jan De Spiegeleer and Wim Schoutens ; [foreword by Philippe Jabre] |
| Autore | Spiegeleer Jan de |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (398 p.) |
| Disciplina |
332.63/23
332.6323 |
| Altri autori (Persone) |
SchoutensWim
JabrePhilippe |
| Collana | Wiley finance series |
| Soggetto topico | Convertible bonds |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-37469-X
1-283-17542-8 9786613175427 0-470-98019-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. The convertibles market -- pt. 2. Pricing -- pt. 3. Risk management and strategies. |
| Record Nr. | UNINA-9910139619903321 |
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Spiegeleer Jan de
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| Chichester, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The handbook of convertible bonds : pricing, strategies and risk management / / Jan De Spiegeleer and Wim Schoutens ; [foreword by Philippe Jabre]
| The handbook of convertible bonds : pricing, strategies and risk management / / Jan De Spiegeleer and Wim Schoutens ; [foreword by Philippe Jabre] |
| Autore | Spiegeleer Jan de |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (398 p.) |
| Disciplina |
332.63/23
332.6323 |
| Altri autori (Persone) |
SchoutensWim
JabrePhilippe |
| Collana | Wiley finance series |
| Soggetto topico | Convertible bonds |
| ISBN |
1-118-37469-X
1-283-17542-8 9786613175427 0-470-98019-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. The convertibles market -- pt. 2. Pricing -- pt. 3. Risk management and strategies. |
| Record Nr. | UNINA-9911019120803321 |
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Spiegeleer Jan de
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| Chichester, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Handbook of Hybrid Securities : Convertible Bonds, CoCo Bonds and Bail-In
| The Handbook of Hybrid Securities : Convertible Bonds, CoCo Bonds and Bail-In |
| Autore | Spiegeleer Jan de |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Wiley, 2014 |
| Descrizione fisica | 1 online resource (410 p.) |
| Disciplina | 332.632044 |
| Altri autori (Persone) |
SchoutensWim
HulleCynthia van |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Business
Convertible bonds -- Handbooks, manuals, etc Convertible securities -- Handbooks, manuals, etc Convertible securities Convertible bonds |
| ISBN |
9781118450000
1118450000 9781118862650 1118862651 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Handbook of Hybrid Securities; Contents; Reading this Book; Acknowledgments; 1 Hybrid Assets; 1.1 Introduction; 1.2 Hybrid Capital; 1.3 Preferreds; 1.4 Convertible Bonds; 1.5 Contingent Convertibles; 1.6 Other Types of Hybrid Debt; 1.6.1 Hybrid Bank Capital; 1.6.2 Hybrid Corporate Capital; 1.6.3 Toggle Bonds; 1.7 Regulation; 1.7.1 Making Failures Less Likely; 1.7.2 Making Failures Less Disruptive; 1.8 Bail-In Capital; 1.9 Risk and Rating; 1.9.1 Risk; 1.9.2 Rating; 1.10 Conclusion; 2 Convertible Bonds; 2.1 Introduction; 2.2 Anatomy of a Convertible Bond; 2.2.1 Final Payoff
2.2.2 Price Graph 2.2.3 Quotation of a Convertible Bond; 2.2.4 Bond Floor (BF); 2.2.5 Parity; 2.2.6 Convexity; 2.2.7 Optional Conversion; 2.2.8 Forced Conversion; 2.2.9 Mandatory Conversion; 2.3 Convertible Bond Arbitrage; 2.3.1 Components of Risk; 2.3.2 Delta; 2.3.3 Delta Hedging; 2.3.4 Different Notions of Delta; 2.3.5 Greeks; 2.4 Standard Features; 2.4.1 Issuer Call; 2.4.2 Put; 2.4.3 Coupons; 2.4.4 Dividends; 2.5 Additional Features; 2.5.1 Dividend Protection; 2.5.2 Take-Over Protection; 2.5.3 Refixes; 2.6 Other Convertible Bond Types; 2.6.1 Exchangeables; 2.6.2 Synthetic Convertibles 2.6.3 Cross-Currency Convertibles 2.6.4 Reverse Convertibles; 2.6.5 Convertible Preferreds; 2.6.6 Make-Whole; 2.6.7 Contingent Conversion; 2.6.8 Convertible Bond Option; 2.7 Convertible Bond Terminology; 2.7.1 144A; 2.7.2 Fixed-Income Metrics; 2.8 Convertible Bond Market; 2.8.1 Market Participants; 2.8.2 Investors; 2.9 Conclusion; 3 Contingent Convertibles (CoCos); 3.1 Introduction; 3.2 Definition; 3.3 Anatomy; 3.3.1 Loss-Absorption Mechanism; 3.3.2 Trigger; 3.3.3 Host Instrument; 3.4 CoCos and Convertible Bonds; 3.4.1 Forced vs. Optional Conversion; 3.4.2 Negative vs. Positive Convexity 3.4.3 Limited vs. Unlimited Upside 3.4.4 Similarity to Reverse Convertibles; 3.5 CoCos and Regulations; 3.5.1 Introduction; 3.5.2 Basel Framework; 3.5.3 Basel I; 3.5.4 Basel II; 3.5.5 Basel III; 3.5.6 CoCos in Basel III; 3.5.7 High and Low-Trigger CoCos; 3.6 Ranking in the Balance Sheet; 3.7 Alternative Structures; 3.8 Contingent Capital: Pro and Contra; 3.8.1 Advantages; 3.8.2 Disadvantages; 3.8.3 Conclusion; 4 Corporate Hybrids; 4.1 Introduction; 4.2 Issuer of Hybrid Debt; 4.3 Investing in Hybrid Debt; 4.4 Structure of a Corporate Hybrid Bond; 4.4.1 Coupons 4.4.2 Replacement Capital Covenant 4.4.3 Issuer Calls; 4.5 View of Rating Agencies; 4.6 Risk in Hybrid Bonds; 4.6.1 Subordination Risk; 4.6.2 Deferral Risk; 4.6.3 Extension Risk; 4.7 Convexity in Hybrid Bonds; 4.7.1 Case Study: Henkel 5.375% 2104; 4.7.2 Duration Dynamics; 4.8 Equity Character of Hybrid Bonds; 5 Bail-In Bonds; 5.1 Introduction; 5.2 Definition; 5.3 Resolution Regime; 5.3.1 Resolution Tools; 5.3.2 Timetable; 5.4 Case Studies; 5.4.1 Bail-In of Senior Bonds; 5.4.2 Saving Lehman Brothers; 5.5 Consequences of Bail-In; 5.5.1 Higher Funding Costs; 5.5.2 Higher GDP 5.5.3 Availability of Bail-In Bonds |
| Record Nr. | UNINA-9910132494503321 |
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Spiegeleer Jan de
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| Wiley, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Quantitative assessment of securitisation deals / / Francesca Campolongo, Henrik Jonsson, Wim Schoutens ; foreword by Anneli Peshkoff and Guido Bichisao
| Quantitative assessment of securitisation deals / / Francesca Campolongo, Henrik Jonsson, Wim Schoutens ; foreword by Anneli Peshkoff and Guido Bichisao |
| Autore | Campolongo Francesca |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, : Springer, 2013 |
| Descrizione fisica | 1 online resource (122 p.) |
| Disciplina | 332.63/2 |
| Altri autori (Persone) |
JonssonHenrik
SchoutensWim PeshkoffAnneli BichisaoGuido |
| Collana | SpringerBriefs in finance |
| Soggetto topico |
Securities
Securities industry - Risk management |
| ISBN |
1-283-61244-5
9786613924896 3-642-29721-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Introduction -- pt. 2. Modelling defaults and prepayments -- pt. 3. Model risk and parameter sensitivity -- pt. 4. Summary and conclusions. |
| Record Nr. | UNINA-9910437877403321 |
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Campolongo Francesca
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| New York, : Springer, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Risk Management of Contingent Convertible (CoCo) Bonds / / by Jan De Spiegeleer, Ine Marquet, Wim Schoutens
| The Risk Management of Contingent Convertible (CoCo) Bonds / / by Jan De Spiegeleer, Ine Marquet, Wim Schoutens |
| Autore | De Spiegeleer Jan |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | 1 online resource (viii, 106 pages) : illustrations |
| Disciplina | 332.6323 |
| Collana | SpringerBriefs in Finance |
| Soggetto topico |
Economics, 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 |
| ISBN | 3-030-01824-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910300104703321 |
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De Spiegeleer Jan
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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