Essays about: "Fortet Algorithms"

Found 1 essay containing the words Fortet Algorithms.

  1. 1. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

    University essay from Göteborgs universitet/Graduate School

    Author : Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
    Keywords : Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

    Abstract : 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