CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Year of publication: |
2015
|
---|---|
Authors: | Brigo, Damiano ; Garcia, João ; Pede, Nicola |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 3, p. 1-31
|
Subject: | Contingent capital | CoCo bonds | AT1P model | firm value models | credit default swap calibration | conversion time | default time | hybrid credit-equity products | Basel III | systemic risk | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Basler Akkord | Basel Accord | Unternehmenswert | Firm value | Anleihe | Bond | Wandelanleihe | Convertible bond | Insolvenz | Insolvency | Optionspreistheorie | Option pricing theory |
-
Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo, (2023)
-
Overview of an alternative trigger for DCL
Segal, Maxime, (2023)
-
Effects of regulatory policies on bank-specific risk and financial stability
Ludolph, Melina, (2021)
- More ...
-
Multi Currency Credit Default Swaps : Quanto Effects and FX Devaluation Jumps
Brigo, Damiano, (2018)
-
Coco Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
Brigo, Damiano, (2017)
-
Multi-currency credit default swaps
Brigo, Damiano, (2019)
- More ...