Sökning: "Additional Tier 1 AT1"

Hittade 4 uppsatser innehållade orden Additional Tier 1 AT1.

  1. 1. Effekten av Basel III - En fallstudie om en banks företagsutlåning

    Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen

    Författare :Niclas Leksell; Fabian Herrgårdh; [2020-07-01]
    Nyckelord :Basel III; Baselkommittén; Utlåningsvolym; Lånekostnad; Kapitalkrav; Kärnprimärkapital CET1 ; Primärkapital tier 1 ; Supplementärkapital tier 2 ; Kapitalkonserveringsbuffert; Kontracyklisk kapitalbuffert; Systemriskbuffert; Likviditetstäckningsgraden LCR ; Nettofinansieringskvoten NSFR ; Bruttosoliditet; Rating; Basel III; Basel Committee; Lending volume; Lending cost; Capital requirements; Common Equity Tier 1 CET1 ; Additional Tier 1 AT1 ; Tier 2; The Capital Conservation Buffer; The Countercyclical Capital Buffer; The Systemic Risk Buffer; The Liquidity Coverage Ratio LCR ; Net Stable Funding Ratio NSFR ; Leverage Ratio; Rating;

    Sammanfattning : Following the financial crisis of 2007 - 2008 stricter regulations were introduced to theinternational banking system. This regulatory framework came to be referred to as Basel III andinvolves major changes for active banks and the financial sector. LÄS MER

  2. 2. 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

  3. 3. 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

  4. 4. 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