The Risk Management of Contingent Convertible (CoCo) Bonds (eBook)
VIII, 109 Seiten
Springer-Verlag
978-3-030-01824-5 (ISBN)
This book provides an overview of the risk components of CoCo bonds. CoCos are hybrid financial instruments that convert into equity or suffer a write-down of the face value upon the appearance of a trigger event. The loss-absorption mechanism is automatically enforced either via the breaching of a particular accounting ratio, typically in terms of the Common Equity Tier 1 (CET1) ratio, or via a regulatory trigger.
CoCos are non-standardised instruments with different loss-absorption and trigger mechanisms. They might also contain additional features such as the cancellation of coupon payments.
Different pricing models are discussed in detail. These models use market data such as share prices, CDS levels and implied volatility in order to calculate the theoretical price of a CoCo bond and its sensitivities, providing the investor with insides to hedge from adverse changes in the market conditions.
The audience are professionals as well as academics who want to learn how to risk manage CoCo bonds using cutting edge techniques as well as all the risk involved in CoCo bonds.
Preface 6
Contents 8
1 A Primer on Contingent Convertible (CoCo) Bonds 10
1.1 What is a CoCo? 10
1.1.1 Write-Down CoCos 11
1.1.2 Conversion CoCos 11
1.1.3 Contingent Conversion Convertible Bonds (CoCoCo) 13
1.2 The Trigger Mechanism 13
1.3 Overview of the Risks 15
1.3.1 Complexity and Non-standardisation 16
1.3.2 Distance to Trigger 16
1.3.3 Non-cumulative Coupon Cancellation 16
1.3.4 Extension Risk 17
1.3.5 Recovery Rate 18
1.3.6 Liquidity Risk 18
1.3.7 Negative Convexity 19
1.4 Basel III Guidelines and CRD IV Regulation 20
1.5 Effectiveness of Issuing CoCos 23
1.5.1 Automatic Loss Absorption 23
1.5.2 Create Right Incentives 25
1.5.3 Tax Benefit 26
1.5.4 Proofs of Effect 26
1.6 Type of Investors 26
1.7 CoCo Market 27
1.8 Conclusion 29
2 Pricing Models for CoCos 31
2.1 Credit Derivatives Approach 32
2.1.1 Credit Triangle 33
2.1.2 CoCo Pricing 33
2.1.3 Recovery Rate 34
2.1.4 Probability of Triggering 35
2.2 Equity Derivatives Approach 36
2.3 Implied CET1 Volatility Model 39
2.4 Conclusion 41
3 Sensitivity Analysis of CoCos 42
3.1 Hedging CoCos 43
3.2 Sensitivity Parameters 44
3.2.1 The Greeks 44
3.2.2 Estimating the Greeks of a CoCo 45
3.3 Beta Coefficient 48
3.4 Goodness-of-Fit 49
3.5 Conclusion 56
4 Impact of Skewness on the Price of a CoCo 57
4.1 Heston Model 58
4.1.1 Pricing of Vanilla Options 59
4.1.2 Pricing of Exotic Options 60
4.1.3 Calibration 61
4.2 Case Study - Barclays 62
4.3 Sensitivity to Parameters of the Heston Model 67
4.3.1 Example of Barclays' CoCo 68
4.3.2 Distressed Versus Non-distressed Situation 69
4.4 Implied Volatility Surface 72
4.5 Conclusions 74
5 Distance to Trigger 75
5.1 Distance to Trigger Versus CoCo Spread 76
5.2 Adjusted Distance to Trigger 78
5.3 Coupon Cancellation Risk 80
5.4 Conclusion 84
6 Outlier Detection of CoCos 86
6.1 Value-at-Risk Equivalent Volatility (VEV) 87
6.1.1 Common Pitfalls 90
6.1.2 Case Study: Risk of Different Asset Classes 93
6.2 Are CoCos Moving Out of Sync? 95
6.2.1 Minimum Covariance Determinant (MCD) 97
6.2.2 Measuring the Outliers 99
6.3 Conclusion 102
7 Conclusion 103
References 106
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| Erscheint lt. Verlag | 2.11.2018 |
|---|---|
| Reihe/Serie | SpringerBriefs in Finance |
| Zusatzinfo | VIII, 106 p. 43 illus., 25 illus. in color. |
| Verlagsort | Cham |
| Sprache | englisch |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Mathematik / Informatik ► Mathematik ► Statistik | |
| Recht / Steuern ► Wirtschaftsrecht | |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management | |
| Schlagworte | Capital instruments • CoCo Bonds • Contingent Capital • Contingent Convertibles • mathematical finance • Quantitative Finance • Risk-Management |
| ISBN-10 | 3-030-01824-5 / 3030018245 |
| ISBN-13 | 978-3-030-01824-5 / 9783030018245 |
| Haben Sie eine Frage zum Produkt? |
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