Essays about: "Contingent Convertible Bonds"

Showing result 1 - 5 of 12 essays containing the words Contingent Convertible Bonds.

1. 1. A test of GARCH models onCoCo bonds

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : JIMMY HENRIKSSON; [2021]
   Keywords : ARCH; GARCH; CoCo-bonds; Additional Tier-1; Volatility; Volatility forecasting; ARCH; GARCH; CoCo-obligationer; AT1; Volatilitet; Prediktion av volatilitet; Prognotisering av volatilitet;

   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

3. 2. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Modelling trigger risk in a practical investment setting

   University essay from KTH/Matematisk statistik

   Author : Adrian Djerf; [2020]
   Keywords : AT1; CoCo; Contingent Convertible; Trigger Risk; Bonds; Valuation; Financial Mathematics; Hybrid Capital; AT1; CoCo; Contingent Convertible; Trigger risk; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

   Abstract : 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

4. 3. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Accounting for Extension Risk

   University essay from KTH/Matematisk statistik

   Author : Karl Larsson; [2020]
   Keywords : Extension Risk; AT1; CoCo; Contingent Convertible; Bonds; Valuation; Financial Mathematics; Hybrid Capital; Förlängningsrisk; AT1; CoCo; Contingent Convertible; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

   Abstract : The investment and financing instrument AT1, or Contingent Convertible bond, has become popular in the post-crisis capital markets, prompting interest and research in the academic world. The instrument's debt definition but equity boosting properties makes it rather extraordinary, and its stochastic features makes multiple mathematical valuation methodologies relevant, especially with regard to the risk of extending the call date of the instrument. READ MORE

5. 4. Systemic risks with Contingent Convertible Bonds : A simulated study in systemic risks of triggering CoCos in a stressed European banking system.

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Mathias Lien Oskarsson; [2019]
   Keywords : Contingent Convertible Bonds; CoCo; Additional Tier 1; Systemic risk; EBA Stress test; Simulation; Point of Non-Viability; Financial resiliency.;

   Abstract : Ever since the great financial crisis of 2008 regulators have pushed toward more resilient banks, resulting in more demanding regulation and an increase of regulator’s insight and power. Through the revision of the BASEL framework, Contingent Convertible Bonds were introduced in 2010 as a part of regulatory capital and has since then grown increasingly popular. READ MORE

6. 5. Contingent Convertible Bonds and the Optimal Default Barrier

   University essay from Göteborgs universitet/Graduate School

   Author : Ludwig Allard; Raymond Ke; [2018-07-03]
   Keywords : Contingent Convertible Bonds; CoCo Bonds; CoCos; Optimal Default Barrier; Swedish Banks; Financial Crisis;

   Abstract : 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