Search Results - subject_exact:"Umtauschanleihe"

Contingent convertible debt : what is and what should have been

Correia, Ricardo; Población García, Javier - 2026

This paper develops a model of AT1 CoCos and corporate securities analysing the role of CoCos as replacements of Equity or of Debt. Our results show that, in terms of value creation, CoCos perform better when they replace vanilla corporate debt rather than when they replace common Equity....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592368

An announcement effect in reverse? : evidence from cash-settled convertible bonds

Gatti, Stefano; Sperl, Ulrich - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338126

Simulation of a closed-loop dc-dc converter using a physicsinformed neural network-based model

Coulombe, Marc-Antoine; Berger, Maxime; Lesage-Landry, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015422760

The extent to which contingent convertible leasing protects bank deposits : a barrier option approach

Khadimallah, Asma; Abid, Fathi - 2025

This paper proposes an alternative solution to the problem related to the risk that banks incur in the protection of deposits. This solution lies in the use by banks of contingent convertible leasing contracts to face financial distress situations by solidifying their own funds and thus...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015411475

Nondilutive coco bonds : a necessary evil?

Gamba, Andrea; Gong, Joe Yanxiong; Ma, Kebin - 2025

Banks predominantly issue nondilutive CoCos, contrary to the suggestion that CoCos should be dilutive to reduce risk-taking. In an agency model of two moral hazards, we show that, although dilutive CoCos deter ex ante risk-taking and prevent banks from being undercapitalized, penalizing...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459329

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Non-dilutive CoCo Bonds : A Necessary Evil

Gamba, Andrea; Gong, Yanxiong (Joe); Ma, Kebin - 2023

Book / Working Paper

Non-dilutive CoCo Bonds : A Necessary Evil?

Gamba, Andrea; Gong, Yanxiong (Joe); Ma, Kebin - 2022

Book / Working Paper

The UBS-Credit Suisse merger : Helvetia's gift

Böni, Pascal; Kroencke, Tim-Alexander; Vasvari, Florin P. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015462768

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The UBS-Credit Suisse Merger : Helvetia's Gift

Böni, Pascal; Kroencke, Tim-Alexander; Vasvari, Florin P. - 2023

Book / Working Paper

On the coincidence of the coco value and Nash equilibrium payoffs

Rachmilevitch, Shiran - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015594814

Alternative stochastic binomial trees for quantitative analysis of convertible bonds

Giribone, Pier Giuseppe; Torto, Alessandro Lo; … - 2025

The objective of the present study is to implement the alternative stochastic binomial trees for the evaluation and estimation of the main sensitivity measures of convertible bonds, thus filling a gap in scientific literature. The paper proposes the implementation of the Haahtela, Jarrow-Rudd...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015589410

Financial traits and convertible bond motives : China's evidence

Chen, Jiaqi; Lu, Xiuwen; Wang, Xiongzhi - 2025

Convertible bond financing has gained significant traction in China's capital market, yet it poses financial risks, particularly for highly leveraged firms. This study investigates how corporate financial traits influence the decision to issue convertible bonds, challenging the direct...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015590906

A coco theory for cooperative bargaining

Rachmilevitch, Shiran - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015476703

Do structured products improve portfolio performance? : A backtesting exercise

Perusset, Florian; Rockinger, Michael - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015573393

Sovereign CoCos and debt forgiveness

Hatchondo, Juan Carlos; Martinez, Leonardo; Önder, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015560932

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Sovereign CoCos and debt forgiveness

Hatchondo, Juan Carlos; Martinez, Leonardo; Önder, … - 2024

Book / Working Paper

Convertible debt arbitrage crashes revisited

Lewis, Craig M.; Munyan, Ben; Verwijmeren, Patrick - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015055438

Optimal design of contingent capital

Melin, Lionel; Panjwani, Ahyan - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015055945

Two-sided asymmetric information and convertible securities in venture financing

Chang, Shih Chung; Wang, Frank Yong - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015073663

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Two-Sided Asymmetric Information and Convertible Securities in Venture Financing

Chang, Shih Chung; Feng, Shiliang; Wang, Frank Yong - 2022

Book / Working Paper

Two-Sided Asymmetric Information and Convertible Securities in Venture Financing

Chang, Shih Chung - 2018

Book / Working Paper

The price of money: the reserves convertibility premium over the term structure

Nyborg, Kjell G.; Woschitz, Jiri - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014486914

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The price of money : the reserves convertibility premium over the term structure

Nyborg, Kjell; Woschitz, Jiri - 2023

Book / Working Paper

CoCos in Europe : what is wrong - and how to fix it?

Martino, Edoardo; Nigro, Casimiro A.; Vos, Tom - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014529139

Capital structure models and contingent convertible securities

Meng, Di; Metzler, Adam; Reesor, R. Mark - 2024

We implemented a methodology to calibrate capital structure models for banks that have issued contingent convertible securities (CoCos). Typical studies involving capital structure model calibration focus on non-financial firms as they have lower leverage and no contingent convertible...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497414

CoCo bonds, bank stability, and earnings opacity

Ludolph, Melina - 2024 - This version: September 3, 2024

This paper examines the effect of CoCo bonds that qualify as additional tier 1 capital on bank stability and reporting. The results reveal a significant reduction in the distance to insolvency following the hybrid bond issuance due to increased earnings volatility. Banks report less stable net...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015127064

From credit spread of CoCo bonds to franchise value

Chen, Jiacheng; Farkas, Walter - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192730

Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?

Dutordoir, Marie; Shemesh, Joshua; Veld, Chris H.; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015179702

Are more analysts better? : the case of convertible bond announcement effects

Prokop, Jörg; Walting, Matthias; Kahlen, Franziska - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592534

Do volatility-managed portfolios work better for convertible bonds?

Rubin, Mirco; Schweigl, Paul - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651621

How do options add value? : evidence from the convertible bond market

Lee, Inmoo; Renjie, Rex Wang; Verwijmeren, Patrick - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013543150

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How Do Options Add Value? Evidence from the Convertible Bond Market

Lee, Inmoo; Renjie, Rex Wang; Verwijmeren, Patrick - 2021

Book / Working Paper

Convertible Bond Arbitrage : Risk and Return

Hutchinson, Mark C.; Gallagher, Liam - 2023

This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is also examined. Results indicate that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014257559

Product Market Competition and Convertible Debt Financing

Lei, Cheng; Lyandres, Evgeny; Veld, Chris; Xia, Ying - 2023

We study the relation between product market competition and convertible debt financing. Competitive threats motivate firms to use convertible debt because the possibility of future conversion enhances financial flexibility. Consistent with this intuition, we find that the intensity of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014350266

Warrants and Convertibles

Chorvat, Elizabeth; Chorvat, Terrence R. - 2023

This case addresses securities that allow the holders to acquire stock directly from the issuing corporation either by purchase (warrants) or by exchanging convertible debt of the corporation for its stock. One can deem warrants and convertible debt as two different types of the same category of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014354209

The Credit Suisse CoCo Wipeout : Facts, Misperceptions, and Lessons for Financial Regulation

Bolton, Patrick; Kartasheva, Anastasia V.; Jiang, Wei - 2023

On March 19, 2023, the Swiss Financial Market Supervisory Authority (FINMA) announced that, as part of the Credit Suisse emergency package, the contingent convertible bonds that were part of the Credit Suisse Additional Tier 1 (AT1) regulatory capital, had been written off. We review the CoCo...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014354647

Research on pricing methods of convertible bonds based on deep learning GAN models

Ren, Gui; Meng, Tao - 2023

This paper proposes two data-driven models (including LSTM pricing model, WGAN pricing model) and an improved model of LSM based on GAN to analyze the pricing of convertible bonds. In addition, the LSM model with higher precision in traditional pricing model is selected for comparative study...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014485386

The adverse effect of contingent convertible bonds on bank stability

Ludolph, Melina - 2023 - This version: August 27, 2023

This paper examines the effect of CoCo bonds that qualify as additional tier 1 capital on bank fundamentals. The results reveal a significant reduction in the distance to insolvency following the hybrid bond issuance due to increased earnings volatility. Further analyses suggest a link between...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014336100

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The adverse effect of contingent convertible bonds on bank stability

Ludolph, Melina - 2022

Book / Working Paper

A two-factor contingent convertible bond pricing model with calibrated option-adjusted spread

Hyatt, Matthew; Davis, Tom P.; Liu, Xi - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198754

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A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option Adjusted Spread

Hyatt, Matthew; Davis, Tom P.; Liu, Xi (Figo) - 2023

Book / Working Paper

Contingent capital with stock price triggers in interbank networks

Balter, Anne G.; Schweizer, Nikolaus; Vera, Juan C. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014312569

Valuation and Analysis of Dual-Trigger Contingent Convertible Catastrophe Bonds

Shang, Qin; Jiang, Jiaqi; Wang, Jian-Jun; Li, Chan - 2023

As an efficient method for reducing systemic risk, contingent convertible bonds (Cocos) have received widespread attention, especially in banking. Similarly, contingent convertible catastrophe bonds (CocoCATs) are effective in the insurance system to minimize catastrophic risks. In this study,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014357503

Predicting Chinese stock prices using convertible bond : an evidence-based neural network approach

Paravee Maneejuk; Zou Binxiong; Woraphon Yamaka - 2023

Purpose - The primary objective of this study is to investigate whether the inclusion of convertible bond prices as important inputs into artificial neural networks can lead to improved accuracy in predicting Chinese stock prices. This novel approach aims to uncover the latent potential inherent...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014445466

Soft going-concern capital buffer? : CoCo non-calls and revealed bank distress

Deng, Kaihua; Fu, Qilong; Huang, Dongxia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440933

Contingent convertible Ijara pricing model

Triki, Ons; Abid, Fathi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015361528

Convertible bond issuance and liquidity of small-cap listed companies

Wen, Conghua; Jiang, Rui; Lin, Xiao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015419366

Do convertible bond issuances increase the firm value in China? : evidence from domestic and offshore issuances

Garg, Vipul Kumar; Subramaniam, Sowmya - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015409021

The lead lag relationship between convertible bonds and stocks : a perspective based on trading mechanism

Jin, Liwei; Yuan, Xianghui; Lu, Keji; Wang, Shihao; Li, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015443000

Convertible lease risk spread modeling with correlation

Triki, Ons; Abid, Fathi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593615

Pricing convertible bonds with the penalty TF model using finite element method

Kazbek, Rakhymzhan; Erlangga, Yogi Ahmad; Amanbek, Yerlan; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015590205

Continuous-time convertible lease pricing and firm value

Triki, Ons; Abid, Fathi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591174

Optimal conversion ratio of contingent capital under issuance constraints

Zhang, Sijia; Xia, Xin; Gan, Liu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605427

The value of convertible bonds amid uncertainty

Wang, Wenyan; Du, Guorong; Jiang, Lyugang; Zhou, Tianhang; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651235

Simple Agreements for Future Equity (SAFE) : Smart Contracts for Venture Finance

Van der Meyden, Ron - 2025

The Need for SAFEs -- SAFE Contract Terms -- Accounting Views of Convertible Instruments -- Methods for Converting a Pre-Money SAFE -- Conversion of Post-Money SAFEs -- Game-Theoretic Aspects of SAFE Conversion -- Equity Financing with Multiple SAFEs -- Liquidity Events with Multiple SAFEs --...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463904

The relationship of G-Index and convertible debt issuance in the presence of restrictive covenants

Akdoğu, Evrim; Paukowits, Aysun Alp; Celikyurt, Ugur - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012486800

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The Relationship of G-Index and Convertible Debt Issuance in the Presence of Restrictive Covenants

Akdoğu, Evrim; Paukowits, Aysun Alp; Celikyurt, Ugur - 2022

Book / Working Paper

Sovereign Cocos

Hatchondo, Juan; Martinez, Leonardo; Önder, Yasin Kürşat - 2022

We study a model of equilibrium sovereign default in which the government issues cocos (contingent convertible bonds) that stipulate a suspension of debt payments when the government faces liquidity shocks in the form of an increase of the bondholders' risk aversion. We find that in spite of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013289445

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Sovereign Cocos

Hatchondo, Juan Carlos - 2022

Book / Working Paper

Risk-Taking, Competition and Uncertainty : Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?

Fatouh, Mahmoud; Neamțu, Ioana; van Wijnbergen, Sweder - 2022

We assess the impact of contingent convertible (CoCo) bonds and the wealth transfers they imply conditional on conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk-taking incentives by issuing CoCo bonds, when...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013295502

DeepPricing : pricing convertible bonds based on financial time-series generative adversarial networks

Tan, Xiaoyu; Zhang, Zili; Zhao, Xuejun; Wang, Shuyi - 2022

Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible bonds are difficult to value because they depend on variables related to the underlying stock, the fixed-income part, and the interaction between these components. Besides,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013272634

Contingent convertible bonds and macroeconomic stability in a stock-flow consistent model

Kremer, Elise; Tinel, Bruno - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013396228