IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v17y2017i6p813-824.html
   My bibliography  Save this article

CoCo bonds and implied CET1 volatility

Author

Listed:
  • Jan De Spiegeleer
  • Stephan Höcht
  • Ine Marquet
  • Wim Schoutens

Abstract

No abstract is available for this item.

Suggested Citation

  • Jan De Spiegeleer & Stephan Höcht & Ine Marquet & Wim Schoutens, 2017. "CoCo bonds and implied CET1 volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 813-824, June.
    • Handle: RePEc:taf:quantf:v:17:y:2017:i:6:p:813-824
    DOI: 10.1080/14697688.2016.1249019
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2016.1249019
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2016.1249019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Pennacchi, George & Vermaelen, Theo & Wolff, Christian C. P., 2014. "Contingent Capital: The Case of COERCs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 541-574, June.
    2. Tsz-Kin Chung & Yue-Kuen Kwok, 2016. "Enhanced equity-credit modelling for contingent convertibles," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1511-1527, October.
    3. Stan Maes & Wim Schoutens, 2012. "Contingent Capital: An In-Depth Discussion," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 41(1-2), pages 59-79, February.
    4. Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo, 2014. "Close form pricing formulas for Coupon Cancellable CoCos," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 339-351.
    5. Kamil Liberadzki & Marcin Liberadzki, 2016. "Hybrid Securities," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-58971-2, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rendón, Juan F. & Cortés, Lina M. & Perote, Javier, 2024. "Basel III countercyclical bank capital buffer estimation and its relation to monetary policy," Journal of Economics and Business, Elsevier, vol. 130(C).
    2. Jang, Hyun Jin & Na, Young Hoon & Zheng, Harry, 2018. "Contingent convertible bonds with the default risk premium," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 77-93.
    3. Choe, Geon Ho & Jang, Hyun Jin & Na, Young Hoon, 2019. "Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 43-53.
    4. Delphine Boursicot & Geneviève Gauthier & Farhad Pourkalbassi, 2019. "Contingent Convertible Debt: The Impact on Equity Holders," Risks, MDPI, vol. 7(2), pages 1-35, April.
    5. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.
    6. Edgar Löw & Marc Erkelenz, 2022. "Long and Short‐term Investments by European Banks – Trends Since the IASB Published IFRS 9," Australian Accounting Review, CPA Australia, vol. 32(4), pages 440-459, December.
    7. Masayuki Kazato & Tetsuya Yamada, 2018. "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series 18-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    8. Chi Man Leung & Yue Kuen Kwok, 2017. "NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-22, November.
    9. Piotr Jaworski & Kamil Liberadzki & Marcin Liberadzki, 2021. "On Write-Down/ Write-Up Loss Absorbing Instruments," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 1204-1219.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Francesca Erica Di Girolamo & Francesca Campolongo & Jan De Spiegeleer & Wim Schoutens, 2017. "Contingent conversion convertible bond: New avenue to raise bank capital," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-31, March.
    2. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.
    3. Caporale, Guglielmo Maria & Kang, Woo-Young, 2021. "On the preferences of CoCo bond buyers and sellers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    4. Wolff, Christian & Masror Khah, Sara Abed, 2015. "The Determinants of CoCo Bond Prices," CEPR Discussion Papers 10996, C.E.P.R. Discussion Papers.
    5. Jan De Spiegeleer & Monika B. Forys & Ine Marquet & Wim Schoutens, 2017. "The impact of skew on the pricing of CoCo bonds," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-19, March.
    6. Gaëtan Le Quang, 2019. "Mind the Conversion Risk: a Theoretical Assessment of Contingent Convertible Bonds," Working Papers hal-04141886, HAL.
    7. Daniël Vullings, 2016. "Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem," DNB Working Papers 517, Netherlands Central Bank, Research Department.
    8. Gaëtan Le Quang, 2019. "Mind the Conversion Risk: a Theoretical Assessment of Contingent Convertible Bonds," EconomiX Working Papers 2019-5, University of Paris Nanterre, EconomiX.
    9. van Wijnbergen, Sweder & Chan, Stephanie, 2016. "CoCo Design, Risk Shifting and Financial Fragility," CEPR Discussion Papers 11099, C.E.P.R. Discussion Papers.
    10. Attaoui, Sami & Poncet, Patrice, 2015. "Write-Down Bonds and Capital and Debt Structures," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 97-119.
    11. Jang, Hyun Jin & Na, Young Hoon & Zheng, Harry, 2018. "Contingent convertible bonds with the default risk premium," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 77-93.
    12. Stephanie Chan & Sweder van Wijnbergen, 2016. "Coco Design, Risk Shifting Incentives and Capital Regulation," Tinbergen Institute Discussion Papers 16-007/VI, Tinbergen Institute, revised 13 Nov 2017.
    13. Yang, Zhaojun & Zhao, Zhiming, 2015. "Valuation and analysis of contingent convertible securities with jump risk," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 124-135.
    14. Lubberink, Martien, 2014. "A Primer on Regulatory Bank Capital Adjustments," MPRA Paper 55290, University Library of Munich, Germany.
    15. White, Lucy & Walther, Ansgar, 2019. "Rules versus Discretion in Bank Resolution," CEPR Discussion Papers 14048, C.E.P.R. Discussion Papers.
    16. Rainer Masera, 2011. "Taking the moral hazard out of banking: the next fundamental step in financial reform," PSL Quarterly Review, Economia civile, vol. 64(257), pages 105-142.
    17. Tan, Yingxian & Luo, Pengfei, 2021. "The impact of debt restructuring on dynamic investment and financing policies," Economic Modelling, Elsevier, vol. 102(C).
    18. Douglas Davis & Edward Simpson Prescott, 2017. "Fixed Prices and Regulatory Discretion as Triggers for Contingent Capital Conversion: An Experimental Examination," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 33-71, June.
    19. Lionel Melin & Ahyan Panjwani, 2024. "Optimal Design of Contingent Capital," Finance and Economics Discussion Series 2024-051, Board of Governors of the Federal Reserve System (U.S.).
    20. Liu Gan & Zhaojun Yang, 2017. "Investment, agency conflicts, debt maturity, and loan guarantees by negotiation," Annals of Finance, Springer, vol. 13(3), pages 253-271, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:17:y:2017:i:6:p:813-824. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.