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Multiple trigger CoCos : contingent debt without death spiral risk

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Modeling risk-weighted assets and the risk sensitivity of related capital requirements

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A framework for robust measurement of implied correlation

Linders, Daniël; Schoutens, Wim - 2013

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Two price economies in continuous time

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A multivariate dependence measure for aggregating risks

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The handbook of hybrid securities : convertible bonds, CoCo bonds, and bail-in

De Spiegeleer, Jan; Schoutens, Wim; Hulle, Cynthia van - 2014 - 1. publ.

"Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk managementTo an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity...