Essays about: "Point of Non-Viability"

Found 4 essays containing the words Point of Non-Viability.

  1. 1. 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

  3. 2. Modelling Large Claims in Property and Home Insurance - Extreme Value Analysis

    University essay from Lunds universitet/Matematisk statistik

    Author : Henrik Paldynski; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : It is of paramount interest for insurance companies to have an estimate of the probability of being exposed to extremely large claims that could render them directly insolvent or decrease the size of their regulatory capital to the point of non-viability. The difficulty with finding such an estimate is that extreme events are by definition rare and therefore difficult to model. READ MORE

  4. 3. 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

  5. 4. 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