Search Results - subject:"AT1"

CoCo Bonds, Bank Stability, and Earnings Opacity

Ludolph, Melina - 2024

This paper examines the effect of CoCo bonds that qualify as additional tier 1 capital on bank stability and reporting. The results reveal a significant reduction in the distance to insolvency following the hybrid bond issuance due to increased earnings volatility. Banks report less stable net...

Persistent link: https://www.econbiz.de/10015080142

The Credit Suisse CoCo Wipeout : Facts, Misperceptions, and Lessons for Financial Regulation

Bolton, Patrick; Kartasheva, Anastasia V.; Jiang, Wei - 2023

Suisse emergency package, the contingent convertible bonds that were part of the Credit Suisse Additional Tier 1 (AT1 …) regulatory capital, had been written off. We review the CoCo design and economic rationales, explaining why the Credit Suisse AT1 …: restoring financial discipline in AT1 bond markets by reminding investors that their investment is exposed to credit risk and …

Persistent link: https://www.econbiz.de/10014354647

The UBS-Credit Suisse Merger : Helvetia's Gift

Böni, Pascal; Kroencke, Tim-Alexander; Vasvari, Florin P. - 2023

The UBS- Credit Suisse (CS) merger in March 2023, one of the biggest banking unions in history, was an emergency rescue deal engineered by Swiss authorities to avoid more market-shaking turmoil in global banking. The merger resulted in a significant increase in the combined stakeholder net...

Persistent link: https://www.econbiz.de/10014349670

The theory of bank resolution : does the bail-in work?

Lendermann, Urs Benedikt - 2023

Persistent link: https://www.econbiz.de/10014475724

The adverse effect of contingent convertible bonds on bank stability

Ludolph, Melina - Leibniz-Institut für Wirtschaftsforschung Halle - 2023 - This version: August 27, 2023

This paper examines the effect of CoCo bonds that qualify as additional tier 1 capital on bank fundamentals. The results reveal a significant reduction in the distance to insolvency following the hybrid bond issuance due to increased earnings volatility. Further analyses suggest a link between...

Persistent link: https://www.econbiz.de/10014336100

The adverse effect of contingent convertible bonds on bank stability

Ludolph, Melina - 2022

estimation results reveal that issuing CoCo bonds that meet the criteria for additional tier 1 (AT1) capital results in …-effect of contingent convertibles by identifying the causal effect of AT1 CoCo bonds on reported risk changes over a three …

Persistent link: https://www.econbiz.de/10012801677

On write-down/write-up loss absorbing instruments

Jaworski, Piotr; Liberadzki, Kamil; Liberadzki, Marcin - In: European research studies 24 (2021) 1, pp. 1204-1219

Persistent link: https://www.econbiz.de/10012512660

Effects of regulatory policies on bank-specific risk and financial stability

Ludolph, Melina - 2021

Persistent link: https://www.econbiz.de/10013326457

Extracting implied volatilities from bank bonds

Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197

Persistent link: https://www.econbiz.de/10014321670

Introduction of additional Tier 1 capital

Heidorn, Thomas; Pottmeyer, Andreas - 2020

The aim of this working paper is to introduce the reader to the relatively new instrument of AT 1 bonds. For this … outlined. Afterwards, the market for AT 1 bonds is analyzed and the interests of the respective market participants are … discussed. Finally, the Credit Derivatives Model, the Equity Derivatives Model and the Value at Risk model are applied to 20 AT …

Persistent link: https://www.econbiz.de/10012588497