Extracting implied volatilities from bank bonds
Michele Leonardo Bianchi and Gian Luca Tassinari
| Year of publication: |
2023
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|---|---|
| Authors: | Bianchi, Michele Leonardo ; Tassinari, Gian Luca |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 7/8, p. 1177-1197
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| Subject: | AT1 bonds | Capital requirements | CET1 ratio | CoCo bonds | Credit default swaps | Firm value models | Implied CET1 volatility | Subordinated bonds | Volatilität | Volatility | Anleihe | Bond | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Unternehmensanleihe | Corporate bond | Basler Akkord | Basel Accord | Optionspreistheorie | Option pricing theory | Bank | Öffentliche Anleihe | Public bond | Zinsstruktur | Yield curve | Unternehmenswert | Firm value | Rentenmarkt | Bond market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2226370 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014321670