CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Damiano Brigo; João Garcia; Nicola Pede
| Year of publication: |
2015
|
|---|---|
| Authors: | Brigo, Damiano ; Garcia, João ; Pede, Nicola |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 3, p. 1-31
|
| Subject: | Contingent capital | CoCo bonds | AT1P model | firm value models | credit default swap calibration | conversion time | default time | hybrid credit-equity products | Basel III | systemic risk | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Basler Akkord | Basel Accord | Unternehmenswert | Firm value | Wandelanleihe | Convertible bond | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Unternehmensanleihe | Corporate bond | Systemrisiko | Systemic risk | Kapitalstruktur | Capital structure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403242