Essays about: "convertible bond"

Showing result 1 - 5 of 11 essays containing the words convertible bond.

  1. 1. 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

  3. 2. 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

  4. 3. 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

  5. 4. The Convertible Bond Announcement Effect - An Event Study on the Nordic Markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Carl Hemmingson; Robert Ydenius; [2017]
    Keywords : Nordic countries; announcement effect; convertible bonds; event study; abnormal returns; Business and Economics;

    Abstract : The announcement effect of convertible bonds is a well-researched topic. However, there is no clear consensus whether the announcements of convertible bond issuance affect the stock price positively or negatively. Previous research shows that this effect differs between markets. READ MORE

  6. 5. The Determinants of European Coco Spreads

    University essay from Göteborgs universitet/Graduate School

    Author : Carl-Fredrik Hallden; Blomqvist Blomqvist; [2016-09-21]
    Keywords : Contingent Convertible bonds; Cocos; Coco spreads; Hybrid Securities; Basel III; Additional Tier 1; Tier 2; Banks;

    Abstract : 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