The risk management of contingent convertible (CoCo) bonds. (2018)

• Record Type: Book
• Further Information: Note: Jan De Spiegeleer, Ine Marquet, Wim Schoutens.
• Authors: Spiegeleer, Jan de; Marquet, Ine; Schoutens, Wim
• Contents: Preface. - 1 A Primer on Contingent Convertible (CoCo) Bonds. - 2 Pricing Models of CoCos.-3 Impact of a New CoCo Issue on the Outstanding CoCos. - 4 Rating of CoCos. - 5 Sensitivity Analysis of CoCos. -6 Impact of Skewness on the Price of a CoCo. - 7 Distance to Trigger.- 8 Outlier Detection of CoCos.- 9 Conclusion.- A Derivation of Carr-Madan Formula for Vanilla Option Prices usingFFT. - Bibliography.
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2018
• Extent: 1 online resource (viii, 106 pages), illustrations (some color)
• Subjects: 332.63/23; Mathematics; Convertible bonds; Business & Economics -- Statistics; Mathematics -- Applied; Mathematics -- Probability & Statistics -- General; Business & Economics -- Insurance -- Risk Assessment & Management; Finance; Probability & statistics; Applied mathematics; Management & management techniques; Finance; Financial engineering; Statistics; Finance—Mathematics; Distribution (Probability theory); Risk management; Finance & accounting; Electronic books
• Languages: English
• ISBNs: 9783030018245; 3030018245
• Related ISBNs: 9783030018238
• Notes: Note: Includes bibliographical references.; Note: Online resource; title from PDF title page (SpringerLink, viewed November 13, 2018).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.