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Close form pricing formulas for Coupon Cancellable CoCos

Corcuera, José Manuel; De Spiegeleer, Jan; Barbachan, … - In: Journal of banking & finance 42 (2014), pp. 339-351

Persistent link: https://www.econbiz.de/10010408370

Pricing contingent convertibles : a derivatives approach

De Spiegeleer, Jan; Schoutens, Wim - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 27-36

Persistent link: https://www.econbiz.de/10009718109

Pricing Contingent Convertibles : A Derivatives Approach

De Spiegeleer, Jan - 2019

This article provides an in-depth analysis of pricing and structuring of contingent convertibles (CoCos). These debt instruments convert into the equity of the issuing bank or suffer a write-down of the face value upon the appearance of a trigger event. This trigger mechanism provides an...

Persistent link: https://www.econbiz.de/10012905917

The impact of skew on the pricing of CoCo bonds

De Spiegeleer, Jan; Forys, Monika B.; Marquet, Ine; … - In: International journal of financial engineering 4 (2017) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011673124

Contingent conversion convertible bond : new avenue to raise bank capital

Di Girolamo, Francesca Erica; Campolongo, Francesca; De … - In: International journal of financial engineering 4 (2017) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011673102

CoCo Bonds and Implied CET1 Volatility

De Spiegeleer, Jan - 2015

In this work we introduce the notion of implied Core Equity Tier 1 volatility and the concept of a risk …-adjusted distance to trigger. Using a derivatives-based valuation approach, we are able to derive the implied CET1 volatility from the … convertibles issued by the same bank and sharing a similar contractual CET1 trigger, have almost identical implied CET1 volatility …

Persistent link: https://www.econbiz.de/10013026772