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 describe some recent contingent capital securities (CoCos) and explore the issues that confront their development. We take the view that bank CoCos should be designed to maintain confidence in a bank before a crisis begins because once a crisis commences it is difficult to see how a bank can...

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...

We argue that the appropriate discount rate used to report defined benefit pension plan liabilities in the financial statements is a yield derived from an estimate of a double A corporate yield curve. We show that parsimonious yield curve techniques are easily applicable to the sterling double A...

The paper examines the estimation of alternative interest rate processes describing the dynamics of UK interest rates. The methodology concentrates on selecting non-parametrically the number of autocovariances to use in calculating a heteroscedasticity and autocorrelation consistent covariance...