Essays about: "AT1P model"

Found 1 essay containing the words AT1P model.

  1. 1. On the Valuation of Contingent Convertibles (CoCos): Analytically Tractable First Passage Time Model for Pricing AT1 CoCos

    University essay from KTH/Matematisk statistik

    Author : Bianca Dufour Partanen; [2016]
    Keywords : Contingent Convertibles; Pricing; Structural model; First passage time model; AT1P model; Calibration.;

    Abstract : 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