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1. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Accounting for Extension Risk
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
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