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SpringerBriefs in Finance

The Risk Management of Contingent Convertible (CoCo) Bonds

Authors: De Spiegeleer, Jan, Marquet, Ine, Schoutens, Wim

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  • Provides a primer on CoCo Bonds
  • Gives an overview of pricing models for these hybrid instruments
  • Describes how to risk-manage contingent convertibles using sophisticated cutting edge techniques
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eBook $54.99
price for USA in USD
  • ISBN 978-3-030-01824-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $69.99
price for USA in USD
About this book

This book provides an overview of the risk components of CoCo bonds. CoCos are hybrid financial instruments that convert into equity or suffer a write-down of the face value upon the appearance of a trigger event. The loss-absorption mechanism is automatically enforced either via the breaching of a particular accounting ratio, typically in terms of the Common Equity Tier 1 (CET1)  ratio, or via a regulatory trigger.

CoCos are non-standardised instruments with different loss-absorption and trigger mechanisms. They might also contain additional features such as the cancellation of coupon payments.

Different pricing models are discussed in detail. These models use market data such as share prices, CDS levels and implied volatility in order to calculate the theoretical price of a CoCo bond and its sensitivities, providing the investor with insides to hedge from adverse changes in the market conditions.

The audience are professionals as well as academics who want to learn how to risk manage CoCo bonds using cutting edge techniques as well as all the risk involved in CoCo bonds.


Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $54.99
price for USA in USD
  • ISBN 978-3-030-01824-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $69.99
price for USA in USD
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Bibliographic Information

Bibliographic Information
Book Title
The Risk Management of Contingent Convertible (CoCo) Bonds
Authors
Series Title
SpringerBriefs in Finance
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
The Author(s), under exclusive license to Springer Nature Switzerland AG
eBook ISBN
978-3-030-01824-5
DOI
10.1007/978-3-030-01824-5
Softcover ISBN
978-3-030-01823-8
Series ISSN
2193-1720
Edition Number
1
Number of Pages
VIII, 106
Number of Illustrations
18 b/w illustrations, 25 illustrations in colour
Topics