Extracting implied volatilities from bank bonds
Year of publication: |
2023
|
---|---|
Authors: | Bianchi, Michele Leonardo ; Tassinari, Gian Luca |
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 |
-
CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano, (2015)
-
CDS market structure and bond spreads
Bilan, Andrada, (2022)
-
The impact of CDS trading on the bond market : evidence from Asia
Shim, Ilhyock, (2014)
- More ...
-
CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
TASSINARI, GIAN LUCA, (2014)
-
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo, (2016)
-
Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Tassinari, Gian Luca, (2014)
- More ...