Essays about: "Contingent Convertibles"

Showing result 1 - 5 of 6 essays containing the words Contingent Convertibles.

1. 1. Financial Reporting for Contingent Convertibles in Banks: Liability or Equity?

   University essay from Göteborgs universitet/Graduate School

   Author : Osama Masri; Daniel Mörner; [2017-08-09]
   Keywords : Contingent Convertibles; CoCos; liability versus equity; IAS 32; Common Equity Risk; Stock return volatility; Basel III; Hybrid Financial Instruments;

   Abstract : Economic development in the capital markets has led to the creation of financial instruments that have the characteristics of both equity and liability, so-called hybrid financial instruments. IASB is trying to create a new way of classifying this kind of instruments. READ MORE

3. 2. 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

4. 3. Global Evaluation of Contingent Convertibles: Testing for Evidence of Market Discipline in the CoCo Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : David Iseklint; David Bengtsson; [2014]
   Keywords : Contingent convertibles; CoCo bonds; market discipline; monitoring; accounting risk indicators; bank risk; Basel III.; Business and Economics;

   Abstract : In this paper, we investigate evidence of market discipline from contingent convertible (CoCo) issues. Previous research has focused on the monitoring aspect of market discipline, by testing risk sensitivity of market prices (subordinated notes and debentures (SND)) to accounting measures of bank risk. READ MORE

5. 4. Pricing Contingent Convertibles - in an intensity based model

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Magnus Brandt; Caroline Hermansson; [2013-07-10]
   Keywords : Convertible bonds; Contingent convertibles CoCos ; Credit Default Swaps CDS ; CDS Spread; Credit Derivative approach;

   Abstract : As a result of the recent years financial instability, governments have developed new regulatory frameworks for bank capital adequacy. Authorities have become more aware of keeping capital as a buffer to absorb potential losses. Due to this, a new financial instrument, so-called Contingent convertibles (CoCos) have become more interesting. READ MORE

6. 5. Modelling and Pricing Contingent Convertibles

   University essay from Göteborgs universitet/Graduate School

   Author : Per Alvemar; Philip Ericson; [2012-07-25]
   Keywords : Contingent Convertible Bonds; Contingent Convertible Capital; CoCos; Pricing; Credit Derivatives; Equity Derivatives; Credit Default Swaps CDS ; Bond Pricing;

   Abstract : Recent years financial turbulence has energized implementation of comprehensive regulatory standards on bank capital adequacy. Regulators demand more capital with loss absorbance properties and the Contingent Convertible bond, CoCo, has become an increasingly pop- ular way to gather such capital. READ MORE