De Spiegeleer, Jan - 2015
In this work we introduce the notion of implied Core Equity Tier 1 volatility and the concept of a risk …-adjusted distance to trigger. Using a derivatives-based valuation approach, we are able to derive the implied CET1 volatility from the … convertibles issued by the same bank and sharing a similar contractual CET1 trigger, have almost identical implied CET1 volatility …