Sökning: "Maggie Ross"

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  1. 1. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

    Sammanfattning : 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