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The handbook of hybrid securities : convertible bonds, coco bonds, and bail-in /
"Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk managementTo an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither e...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex :
John Wiley Sons,
2014.
|
| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
MARC
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| 100 | 1 | |a Spiegeleer, Jan de. | |
| 245 | 1 | 4 | |a The handbook of hybrid securities : |b convertible bonds, coco bonds, and bail-in / |c Jan De Spiegeleer, Wim Schoutens, Cynthia Vanhulle. |
| 264 | 1 | |a Chichester, West Sussex : |b John Wiley Sons, |c 2014. | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 520 | |a "Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk managementTo an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators "-- |c Provided by publisher | ||
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record and CIP data provided by publisher. | |
| 505 | 0 | |a The Handbook of Hybrid Securities; Title Page; Copyright Page; Dedication; Contents; Reading this Book; Acknowledgments; 1 Hybrid Assets; 1.1 Introduction; 1.2 Hybrid Capital; 1.3 Preferreds; 1.4 Convertible Bonds; 1.5 Contingent Convertibles; 1.6 Other Types of Hybrid Debt; 1.6.1 Hybrid Bank Capital; 1.6.2 Hybrid Corporate Capital; 1.6.3 Toggle Bonds; 1.7 Regulation; 1.7.1 Making Failures Less Likely; 1.7.2 Making Failures Less Disruptive; 1.8 Bail-In Capital; 1.9 Risk and Rating; 1.9.1 Risk; 1.9.2 Rating; 1.10 Conclusion; 2 Convertible Bonds; 2.1 Introduction. | |
| 505 | 8 | |a 2.2 Anatomy of a Convertible Bond2.2.1 Final Payoff; 2.2.2 Price Graph; 2.2.3 Quotation of a Convertible Bond; 2.2.4 Bond Floor (BF); 2.2.5 Parity; 2.2.6 Convexity; 2.2.7 Optional Conversion; 2.2.8 Forced Conversion; 2.2.9 Mandatory Conversion; 2.3 Convertible Bond Arbitrage; 2.3.1 Components of Risk; 2.3.2 Delta; 2.3.3 Delta Hedging; 2.3.4 Different Notions of Delta; 2.3.5 Greeks; 2.4 Standard Features; 2.4.1 Issuer Call; 2.4.2 Put; 2.4.3 Coupons; 2.4.4 Dividends; 2.5 Additional Features; 2.5.1 Dividend Protection; 2.5.2 Take-Over Protection; 2.5.3 Refixes; 2.6 Other Convertible Bond Types. | |
| 505 | 8 | |a 2.6.1 Exchangeables2.6.2 Synthetic Convertibles; 2.6.3 Cross-Currency Convertibles; 2.6.4 Reverse Convertibles; 2.6.5 Convertible Preferreds; 2.6.6 Make-Whole; 2.6.7 Contingent Conversion; 2.6.8 Convertible Bond Option; 2.7 Convertible Bond Terminology; 2.7.1 144A; 2.7.2 Fixed-Income Metrics; 2.8 Convertible Bond Market; 2.8.1 Market Participants; 2.8.2 Investors; 2.9 Conclusion; 3 Contingent Convertibles (CoCos); 3.1 Introduction; 3.2 Definition; 3.3 Anatomy; 3.3.1 Loss-Absorption Mechanism; 3.3.2 Trigger; 3.3.3 Host Instrument; 3.4 CoCos and Convertible Bonds. | |
| 505 | 8 | |a 3.4.1 Forced vs. Optional Conversion3.4.2 Negative vs. Positive Convexity; 3.4.3 Limited vs. Unlimited Upside; 3.4.4 Similarity to Reverse Convertibles; 3.5 CoCos and Regulations; 3.5.1 Introduction; 3.5.2 Basel Framework; 3.5.3 Basel I; 3.5.4 Basel II; 3.5.5 Basel III; 3.5.6 CoCos in Basel III; 3.5.7 High and Low-Trigger CoCos; 3.6 Ranking in the Balance Sheet; 3.7 Alternative Structures; 3.8 Contingent Capital: Pro and Contra; 3.8.1 Advantages; 3.8.2 Disadvantages; 3.8.3 Conclusion; 4 Corporate Hybrids; 4.1 Introduction; 4.2 Issuer of Hybrid Debt; 4.3 Investing in Hybrid Debt. | |
| 505 | 8 | |a 4.4 Structure of a Corporate Hybrid Bond4.4.1 Coupons; 4.4.2 Replacement Capital Covenant; 4.4.3 Issuer Calls; 4.5 View of Rating Agencies; 4.6 Risk in Hybrid Bonds; 4.6.1 Subordination Risk; 4.6.2 Deferral Risk; 4.6.3 Extension Risk; 4.7 Convexity in Hybrid Bonds; 4.7.1 Case Study: Henkel 5.375% 2104; 4.7.2 Duration Dynamics; 4.8 Equity Character of Hybrid Bonds; 5 Bail-In Bonds; 5.1 Introduction; 5.2 Definition; 5.3 Resolution Regime; 5.3.1 Resolution Tools; 5.3.2 Timetable; 5.4 Case Studies; 5.4.1 Bail-In of Senior Bonds; 5.4.2 Saving Lehman Brothers; 5.5 Consequences of Bail-In. | |
| 590 | |a O'Reilly |b O'Reilly Online Learning: Academic/Public Library Edition | ||
| 650 | 0 | |a Convertible securities |v Handbooks, manuals, etc. | |
| 650 | 0 | |a Convertible bonds |v Handbooks, manuals, etc. | |
| 650 | 6 | |a Titres convertibles |v Guides, manuels, etc. | |
| 650 | 6 | |a Obligations convertibles |v Guides, manuels, etc. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Convertible bonds. |2 fast |0 (OCoLC)fst00877246 | |
| 650 | 7 | |a Convertible securities. |2 fast |0 (OCoLC)fst00877252 | |
| 655 | 7 | |a Handbooks and manuals. |2 fast |0 (OCoLC)fst01423877 | |
| 655 | 7 | |a Handbooks and manuals. |2 lcgft | |
| 700 | 1 | |a Schoutens, Wim. | |
| 700 | 1 | |a Vanhulle, Cynthia, |d 1956- | |
| 776 | 0 | 8 | |i Print version: |a Spiegeleer, Jan de. |t Handbook of hybrid securities. |d Hoboken, New Jersey : Wiley, 2014 |z 9781118449998 |w (DLC) 2013046701 |
| 856 | 4 | 0 | |u https://learning.oreilly.com/library/view/~/9781118450024/?ar |z Texto completo (Requiere registro previo con correo institucional) |
| 880 | 0 | 0 | |6 505-00/(S |t Default Correlation -- |g 9.4. |t Structural Models -- |g 9.5. |t Conclusion -- |g 10. |t Modeling Hybrids: Handling Credit -- |g 10.1. |t Credit Spread -- |g 10.1.1. |t Definition -- |g 10.1.2. |t Working with Credit Spreads -- |g 10.1.3. |t Option-Adjusted Spread -- |g 10.2. |t Default Intensity -- |g 10.2.1. |t Introduction -- |g 10.3. |t Credit Default Swaps -- |g 10.3.1. |t Definition -- |g 10.3.2. |t Example of a CDS Curve -- |g 10.3.3. |t Availability of CDS Data -- |g 10.3.4. |t Premium and Credit Leg -- |g 10.3.5. |t Valuation -- |g 10.3.6. |t Rule of Thumb -- |g 10.3.7. |t Market Convention -- |g 10.3.8. |t Case Study: Implied Default Probability -- |g 10.4. |t Credit Triangle -- |g 10.4.1. |t Definition -- |g 10.4.2. |t Case Study -- |g 10.4.3. |t Big Picture -- |g 10.5. |t Stochastic-Credit -- |g 11. |t Constant Elasticity of Variance -- |g 11.1. |t From Black-Scholes to CEV -- |g 11.1.1. |t Introduction -- |g 11.1.2. |t Leverage Effect -- |g 11.1.3. |t Link with Black-Scholes -- |g 11.2. |t Historical Parameter Estimation -- |g 11.3. |t Valuation: Analytical Solution -- |g 11.3.1. |t Moving Away from Black-Scholes -- |g 11.3.2. |t Semi-Closed-Form Formula -- |g 11.3.3. |t Numerical Example -- |g 11.4. |t Valuation: Trinomial Trees for CEV -- |g 11.4.1. |t American Options -- |g 11.4.2. |t Trinomial Trees for CEV -- |g 11.4.3. |t Numerical Example -- |g 11.5. |t Jump-Extended CEV Process -- |g 11.5.1. |t Introduction -- |g 11.5.2. |t JDCEV-Generated Skew -- |g 11.5.3. |t Convertible Bonds Priced under JDCEV -- |g 11.6. |t Case Study: Pricing Mandatories with CEV -- |g 11.6.1. |t Mandatory Conversion -- |g 11.6.2. |t Numerical Example -- |g 11.7. |t Case Study: Pricing Convertibles with a Reset -- |g 11.7.1. |t Refixing the Conversion Price -- |g 11.7.2. |t Involvement of CEV -- |g 11.7.3. |t Numerical Example -- |g 11.8. |t Calibration of CEV -- |g 11.8.1. |t Introduction -- |g 11.8.2. |t Local or Global Calibration -- |g 11.8.3. |t Calibrating CEV: Step by Step -- |g 12. |t Pricing Contingent Debt -- |g 12.1. |t Introduction -- |g 12.2. |t Credit Derivatives Method -- |g 12.2.1. |t Introduction -- |g 12.2.2. |t Loss -- |g 12.2.3. |t Trigger Intensity (λTrigger) -- |g 12.2.4. |t CoCo Spread Calculation Example -- |g 12.2.5. |t Case Study: Lloyds Contingent Convertibles -- |g 12.3. |t Equity Derivatives Method -- |g 12.3.1. |t Introduction -- |g 12.3.2. |t Step 1: Zero-Coupon CoCo -- |g 12.3.3. |t Step 2: Adding Coupons -- |g 12.3.4. |t Numerical Example -- |g 12.3.5. |t Case Study: Lloyds Contingent Convertibles -- |g 12.3.6. |t Case Study: Tier 1 and Tier 2 CoCos -- |g 12.4. |t Coupon Deferral -- |g 12.5. |t Using Lattice Models -- |g 12.6. |t Linking Credit to Equity -- |g 12.6.1. |t Introduction -- |g 12.6.2. |t Hedging Credit Through Equity -- |g 12.6.3. |t Credit Elasticity -- |g 12.7. |t CoCos with Upside: CoCoCo -- |g 12.7.1. |t Downside Balanced with Upside -- |g 12.7.2. |t Numerical Example -- |g 12.8. |t Adding Stochastic Credit -- |g 12.8.1. |t Two-Factor Model -- |g 12.8.2. |t Monte Carlo Method -- |g 12.8.3. |t Pricing CoCos in a Two-Factor Model -- |g 12.8.4. |t Case Study -- |g 12.9. |t Avoiding Death Spirals -- |g 12.10. |t Appendix: Pricing Contingent Debt on a Trinomial Tree -- |g 12.10.1. |t Generalized Procedure -- |g 12.10.2. |t Positioning Nodes on the Trigger -- |g 12.10.3. |t Solving the CoCo Price -- |g 13. |t Multi-Factor Models for Hybrids -- |g 13.1. |t Introduction -- |g 13.2. |t Early Exercise -- |g 13.3. |t American Monte Carlo -- |g 13.3.1. |t Longstaff and Schwartz (LS) Technique -- |g 13.3.2. |t Convergence -- |g 13.3.3. |t Example: Longstaff and Schwartz (LS) Step by Step -- |g 13.3.4. |t Adding Calls and Puts -- |g 13.4. |t Multi-Factor Models -- |g 13.4.1. |t Adding Stochastic Interest Rates -- |g 13.4.2. |t Equity-Interest Rate Correlation -- |g 13.4.3. |t Adapting Longstaff and Schwartz (LS) -- |g 13.4.4. |t Convertible Bond under Stochastic Interest Rates -- |g 13.4.5. |t Adding Investor Put -- |g 13.5. |t Conclusion. |
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