Sökning: "CoCo-obligationer"

Visar resultat 1 - 5 av 6 uppsatser innehållade ordet CoCo-obligationer.

1. 1. 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

3. 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

4. 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

5. 4. CoCo-obligationer inom europeiska banker - En studie over utvecklingen av innehavet samt specifika faktorer som påverkar emitteringen av dessa

   Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen

   Författare :Elin Andersson; Isabelle Svensson; [2019-07-03]
   Nyckelord :CoCos; Contingent Convertibles; emittering; eget kapital; AT1; bank.;

   Sammanfattning : Introduktion och problem: Contingent Convertibles, benämnt CoCos, blev mer vanligt förekommande inom banker efter finanskrisen 2007 - 2008. Det är en alternativ obligationsform och klassificeras som ett skuldinstrument med inslag av egenskaper för eget kapital. LÄS MER

7. 5. 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