Sökning: "Contingent Convertibles"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Contingent Convertibles.

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

    Master-uppsats, Göteborgs universitet/Graduate School

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

    Sammanfattning : MSc in Accounting.... LÄS MER

  2. 2. On the Valuation of Contingent Convertibles (CoCos): Analytically Tractable First Passage Time Model for Pricing AT1 CoCos

    Master-uppsats, KTH/Matematisk statistik

    Författare :Bianca Dufour Partanen; [2016]
    Nyckelord :Contingent Convertibles; Pricing; Structural model; First passage time model; AT1P model; Calibration.;

    Sammanfattning : 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. LÄS MER

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

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

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

    Sammanfattning : 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. LÄS MER

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

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

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

    Sammanfattning : 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. LÄS MER

  5. 5. Modelling and Pricing Contingent Convertibles

    Master-uppsats, Göteborgs universitet/Graduate School

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

    Sammanfattning : MSc in Finance.... LÄS MER

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