Download or read book Numerical Pricing of Coco Bonds with Parisian Trigger Feature Using the Fortet Method written by Chi Man Leung and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike conventional convertible bonds, contingent convertible (CoCo) bonds are converted into equity shares of the issuing bank subject to certain trigger mechanisms (accounting and/or regulatory trigger) when the issuing bank is under financial non-viable state. We consider pricing of these CoCos using the contingent claims approach, where the state variables are the stock price and Tier 1 capital ratio. We use the Parisian feature to model the regulatory trigger where equity conversion is triggered when the capital ratio stays under the non-viable state cumulatively for a certain period of time. The accounting trigger is modeled using the one-touch barrier feature associated with the capital ratio. The Parisian trigger feature adds one extra path dependent state variable in the pricing model of a CoCo bond. We design effective numerical algorithms for pricing the Coco bonds using the extended Fortet method that avoid the issuance of adding one state variable for the Parisian feature of regulatory trigger. Pricing properties of the CoCo bonds under both regulatory trigger and accounting trigger are explored.
Download or read book The Risk Management of Contingent Convertible CoCo Bonds written by Jan De Spiegeleer and published by Springer. This book was released on 2018-11-02 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of the risk components of CoCo bonds. CoCos are hybrid financial instruments that convert into equity or suffer a write-down of the face value upon the appearance of a trigger event. The loss-absorption mechanism is automatically enforced either via the breaching of a particular accounting ratio, typically in terms of the Common Equity Tier 1 (CET1) ratio, or via a regulatory trigger. CoCos are non-standardised instruments with different loss-absorption and trigger mechanisms. They might also contain additional features such as the cancellation of coupon payments. Different pricing models are discussed in detail. These models use market data such as share prices, CDS levels and implied volatility in order to calculate the theoretical price of a CoCo bond and its sensitivities, providing the investor with insides to hedge from adverse changes in the market conditions. The audience are professionals as well as academics who want to learn how to risk manage CoCo bonds using cutting edge techniques as well as all the risk involved in CoCo bonds.
Download or read book Salvator Rosa in French Literature written by James Patty and published by University Press of Kentucky. This book was released on 2005-01-31 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: " Salvator Rosa (1615–1673) was a colorful and controversial Italian painter, talented musician, a notable comic actor, a prolific correspondent, and a successful satirist and poet. His paintings, especially his rugged landscapes and their evocation of the sublime, appealed to Romantic writers, and his work was highly influential on several generations of European writers. James S. Patty analyzes Rosa’s tremendous influence on French writers, chiefly those of the nineteenth century, such as Stendhal, Honoré de Balzac, Victor Hugo, George Sand, and Théophile Gautier. Arranged in chronological order, with numerous quotations from French fiction, poetry, drama, art criticism, art history, literary history, and reference works, Salvator Rosa in French Literature forms a narrative account of the reception of Rosa’s life and work in the world of French letters. James S. Patty, professor emeritus of French at Vanderbilt University, is the author of Dürer in French Letters . He lives in Nashville, Tennessee.
Download or read book The Beach written by Alex Garland and published by Penguin. This book was released on 2005-07-05 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: The irresistible novel that was adapted into a major motion picture starring Leonardo DiCaprio. The Khao San Road, Bangkok -- first stop for the hordes of rootless young Westerners traveling in Southeast Asia. On Richard's first night there, in a low-budget guest house, a fellow traveler slashes his wrists, bequeathing to Richard a meticulously drawn map to "the Beach." The Beach, as Richard has come to learn, is the subject of a legend among young travelers in Asia: a lagoon hidden from the sea, with white sand and coral gardens, freshwater falls surrounded by jungle, plants untouched for a thousand years. There, it is rumored, a carefully selected international few have settled in a communal Eden. Haunted by the figure of Mr. Duck -- the name by which the Thai police have identified the dead man -- and his own obsession with Vietnam movies, Richard sets off with a young French couple to an island hidden away in an archipelago forbidden to tourists. They discover the Beach, and it is as beautiful and idyllic as it is reputed to be. Yet over time it becomes clear that Beach culture, as Richard calls it, has troubling, even deadly, undercurrents. Spellbinding and hallucinogenic, The Beach by Alex Garland -- both a national bestseller and his debut -- is a highly accomplished and suspenseful novel that fixates on a generation in their twenties, who, burdened with the legacy of the preceding generation and saturated by popular culture, long for an unruined landscape, but find it difficult to experience the world firsthand.
Download or read book Musk Hashish and Blood written by Hector France and published by . This book was released on 1900 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Counterparty Credit Risk Collateral and Funding written by Damiano Brigo and published by John Wiley & Sons. This book was released on 2013-03-05 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular ‘concrete’ financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.
Download or read book Credit Risk Modeling Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
Download or read book A New Pocket Dictionary of the French and English Languages in Two Parts written by Thomas Nugent and published by . This book was released on 1770 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Credit Models and the Crisis written by Damiano Brigo and published by John Wiley & Sons. This book was released on 2010-10-28 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions. It has become commonplace to blame the inadequacy of credit risk models, claiming that the crisis was due to sophisticated and obscure products being traded, but practitioners have for a long time been aware of the dangers and limitations of credit models. It would seem that a lack of understanding of these models is the root cause of their failures but until now little analysis had been published on the subject and, when published, it had gained very limited attention. Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation. The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future.
Download or read book New Trends in Cancer for the 21st Century written by Antonio Llombart-Bosch and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given the latest advances in cancer research, which includes basic research and its derived diagnostic, clinical, and therapeutic applications, the book New Trends in Cancer for the 21st Century is written by individuals such as molecular biologists, whose tasks are to decipher, after sequencing the human genome, those new genes and pathways involved in the carcinogenesis process; clinical and molecular pathologists, who apply these discoveries for the molecular diagnosis and characterization of the tumor; and clinical oncologists, who treat patients. Pharmacogenetics introduces new perspectives in the translational fields with the design of drugs against specific targets, which at this moment are in clinical trials phases. This book achieves a state of the art in every field of cancer research and discusses the new perspectives that will open the future for cancer treatment (basic research, new technologies, new drugs, therapies...). For this reason, the book is intended for pathologists, clinicians, and biologists, as well as fellows and students of physiology and medicine.
Download or read book That Winter written by Pamela Gillilan and published by Bloodaxe Books. This book was released on 1986 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pamela Gillilan was born in London in 1918, married in 1948 and moved to Cornwall in 1951. When she sat down to write her poem Come Away after the death of her husband David, she had written no poems for a quarter of a century. Then came a sequence of incredibly moving elegies. Other poems followed, and two years after starting to write again, she won the Cheltenham Festival poetry competition. Her first collection That Winter (Bloodaxe, 1986) was shortlisted for the Commonwealth Poetry Prize.
Download or read book The Handbook of Hybrid Securities written by Jan De Spiegeleer and published by John Wiley & Sons. This book was released on 2014-05-19 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To 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
Download or read book One Good Story That One written by Thomas King and published by U of Minnesota Press. This book was released on 2013-09-01 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: One Good Story, That One is a collection steeped in native oral tradition and shot through with Thomas King’s special brand of wit and comic imagination. These highly acclaimed stories conjure up Native and Judeo-Christian myths, present-day pop culture, and literature while mixing in just the right amount of perception and experience.
Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Download or read book Applied Complex Variables for Scientists and Engineers written by Yue Kuen Kwok and published by Cambridge University Press. This book was released on 2010-06-24 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to complex variable methods begins by carefully defining complex numbers and analytic functions, and proceeds to give accounts of complex integration, Taylor series, singularities, residues and mappings. Both algebraic and geometric tools are employed to provide the greatest understanding, with many diagrams illustrating the concepts introduced. The emphasis is laid on understanding the use of methods, rather than on rigorous proofs. Throughout the text, many of the important theoretical results in complex function theory are followed by relevant and vivid examples in physical sciences. This second edition now contains 350 stimulating exercises of high quality, with solutions given to many of them. Material has been updated and additional proofs on some of the important theorems in complex function theory are now included, e.g. the Weierstrass–Casorati theorem. The book is highly suitable for students wishing to learn the elements of complex analysis in an applied context.
Download or read book Contingent Convertible CoCo Notes written by Jan de Spiegeleer and published by Anchor Books. This book was released on 2011 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: A CoCo stands for a bond that will be converted into equity as soon as the bank gets into a life threatening situation. As soon as the solvency of the bank drops below acceptable standards, the bonds are converted into equity.
Download or read book Specific Heat Enthalpy and Entropy of Uranyl Fluoride written by Paul F. Wacker and published by . This book was released on 1947 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
