Essays about: "Contingent Convertible Capital"
Showing result 1 - 5 of 8 essays containing the words Contingent Convertible Capital.
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1. 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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2. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Accounting for Extension Risk
University essay from KTH/Matematisk statistikAbstract : 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
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3. 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 institutionenAbstract : 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
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4. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model
University essay from Göteborgs universitet/Graduate SchoolAbstract : The contingent convertible (CoCo) bond is a loss-absorbing instrument which can be converted mandatorily to common equity when a trigger event happens, such as the bookvalue trigger and the discretionary trigger. The book-value trigger means that once the capital ratio hits the pre-specified threshold, the equity conversion will be activated. 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