Sökning: "CoCo bonds"
Visar resultat 6 - 10 av 11 uppsatser innehållade orden CoCo bonds.
6. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. LÄS MER
7. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : 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. LÄS MER
8. The Determinants of European Coco Spreads
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : 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. LÄS MER
9. Global Evaluation of Contingent Convertibles: Testing for Evidence of Market Discipline in the CoCo Market
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : 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
10. Pricing Contingent Convertibles - in an intensity based model
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : 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