We discuss the current funding practice of banks, looking at the typical capital structure of banks, examining where CoCos will likely fit within this structure and giving examples of recently issued CoCos. We explore the key design choices of bank CoCos analysing the potential problems that...

We examine Treasury bond and stock index futures, the swap curve and two types of hypothetical corporate bond assets as alternative hedging instruments for portfolios of corporate bonds. Conducting "ex post" and "ex ante" tests we find evidence that credit quality and maturity are important...

The skewness in physical distributions of equity index returns and the implied volatility skew in the risk-neutral measure are subjects of extensive academic research. Much attention is now being focused on models that are able to capture time-varying conditional skewness and kurtosis. For this...