Sökning: "Convertible bonds"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden Convertible bonds.

1. 1. Pricing Convertible Bonds Using Monte Carlo Simulations

   Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Gustav Marklund Brinell; [2023]
   Nyckelord :Convertible bonds; Monte Carlo;

   Sammanfattning : In this paper we dive into the world of pricing convertible bonds, with increasing complexity. This work aims to investigate the pricing methods behind different convertibles and see how well they agree with exact prices and benchmarks from established literature. LÄS MER

3. 2. A test of GARCH models onCoCo bonds

   Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

   Författare :JIMMY HENRIKSSON; [2021]
   Nyckelord :ARCH; GARCH; CoCo-bonds; Additional Tier-1; Volatility; Volatility forecasting; ARCH; GARCH; CoCo-obligationer; AT1; Volatilitet; Prediktion av volatilitet; Prognotisering av volatilitet;

   Sammanfattning : This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. LÄS MER

4. 3. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Modelling trigger risk in a practical investment setting

   Master-uppsats, KTH/Matematisk statistik

   Författare :Adrian Djerf; [2020]
   Nyckelord :AT1; CoCo; Contingent Convertible; Trigger Risk; Bonds; Valuation; Financial Mathematics; Hybrid Capital; AT1; CoCo; Contingent Convertible; Trigger risk; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

   Sammanfattning : 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. LÄS MER

5. 4. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Accounting for Extension Risk

   Master-uppsats, KTH/Matematisk statistik

   Författare :Karl Larsson; [2020]
   Nyckelord :Extension Risk; AT1; CoCo; Contingent Convertible; Bonds; Valuation; Financial Mathematics; Hybrid Capital; Förlängningsrisk; AT1; CoCo; Contingent Convertible; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

   Sammanfattning : 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. LÄS MER

7. 5. Systemic risks with Contingent Convertible Bonds : A simulated study in systemic risks of triggering CoCos in a stressed European banking system.

   Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

   Författare :Mathias Lien Oskarsson; [2019]
   Nyckelord :Contingent Convertible Bonds; CoCo; Additional Tier 1; Systemic risk; EBA Stress test; Simulation; Point of Non-Viability; Financial resiliency.;

   Sammanfattning : 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. LÄS MER