Extracting implied volatilities from bank bonds
Year of publication: |
2023
|
---|---|
Authors: | Bianchi, Michele Leonardo ; Tassinari, Gian Luca |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 7/8, p. 1177-1197
|
Subject: | AT1 bonds | Capital requirements | CET1 ratio | CoCo bonds | Credit default swaps | Firm value models | Implied CET1 volatility | Subordinated bonds | Volatilität | Volatility | Anleihe | Bond | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Theorie | Theory | Öffentliche Anleihe | Public bond | Schätzung | Estimation | Finanzanalyse | Financial analysis | Zinsstruktur | Yield curve | Unternehmensanleihe | Corporate bond | Rentenmarkt | Bond market |
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