Sökning: "Additional Tier 1 AT1"
Hittade 4 uppsatser innehållade orden Additional Tier 1 AT1.
- Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen
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. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Modelling trigger risk in a practical investment settingMaster-uppsats, KTH/Matematisk statistik
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. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Accounting for Extension RiskMaster-uppsats, KTH/Matematisk statistik
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. On the Valuation of Contingent Convertibles (CoCos): Analytically Tractable First Passage Time Model for Pricing AT1 CoCosMaster-uppsats, KTH/Matematisk statistik
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