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.
- ISBN:
- 9783030018238
- 9783030018238
-
Category:
- Investment & securities
- Format:
- Paperback
- Publication Date:
-
11-01-2019
- Publisher:
- Springer Nature Switzerland AG
- Country of origin:
- Switzerland
- Pages:
- 106
- Dimensions (mm):
- 235x155mm
- Weight:
- 0.45kg
This title is in stock with our overseas supplier and should be sent from our Sydney warehouse within 3 - 4 weeks of you placing an order.
Once received into our warehouse we will despatch it to you with a Shipping Notification which includes online tracking.
Please check the estimated delivery times below for your region, for after your order is despatched from our warehouse:
ACT Metro 2 working days
NSW Metro 2 working days
NSW Rural 2-3 working days
NSW Remote 2-5 working days
NT Metro 3-6 working days
NT Remote 4-10 working days
QLD Metro 2-4 working days
QLD Rural 2-5 working days
QLD Remote 2-7 working days
SA Metro 2-5 working days
SA Rural 3-6 working days
SA Remote 3-7 working days
TAS Metro 3-6 working days
TAS Rural 3-6 working days
VIC Metro 2-3 working days
VIC Rural 2-4 working days
VIC Remote 2-5 working days
WA Metro 3-6 working days
WA Rural 4-8 working days
WA Remote 4-12 working days
Share This Book: