Essays about: "CoCo-bonds"
Showing result 1 - 5 of 6 essays containing the word CoCo-bonds.
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1. A test of GARCH models onCoCo bonds
University essay from KTH/Skolan för industriell teknik och management (ITM)Abstract : This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. READ MORE
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2. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Modelling trigger risk in a practical investment setting
University essay from KTH/Matematisk statistikAbstract : Contingent convertible bonds (often referred to as CoCo bonds, or simply CoCos) are a relatively new financial instrument designed to absorb unexpected losses. This instrument became increasingly more common after the financial crisis of 2008, as a way to decrease the risk of insolvency among banks and other financial institutions. READ MORE
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3. Contingent Convertible Bonds and the Optimal Default Barrier
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis provides a comprehensive overview of the sensitivity of the optimal default barrier in regard to its input parameters and the use of contingent convertible bonds. Contingent convertible bonds are financial instruments designed to help banks prevent default and absorb losses by converting from debt to equity in times of financial distress. READ MORE
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4. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE
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5. The Determinants of European Coco Spreads
University essay from Göteborgs universitet/Graduate SchoolAbstract : Contingent Convertible (Coco) bonds are hybrid capital securities that absorb losses when the capital of the issuing bank falls below a certain level. Previous research has mainly been focusing on the pricing of such instruments and this paper contributes to the eld by empirically examining the determinants of Coco bond spreads for European banks. READ MORE
