Essays about: "AT1P model"
Found 1 essay containing the words AT1P model.
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1. On the Valuation of Contingent Convertibles (CoCos): Analytically Tractable First Passage Time Model for Pricing AT1 CoCos
University essay from KTH/Matematisk statistikAbstract : Contingent Convertibles (CoCos) are a new type of hybrid debt instrument characterized by forced equity conversion or write-down under a specified trigger event, usually indicating a state of near non-viability of the Additional Tier 1 capital category, giving them additional features such as possible coupon cancellation. In this thesis, the structure of CoCos is presented and different pricing approaches are introduced. READ MORE
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