Book description
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
Table of contents
- Reading this Book
- Acknowledgments
- 1 Hybrid Assets
- 2 Convertible Bonds
- 3 Contingent Convertibles (CoCos)
- 4 Corporate Hybrids
- 5 Bail-In Bonds
- 6 Modeling Hybrids: An Introduction
- 7 Modeling Hybrids: Stochastic Processes
- 8 Modeling Hybrids: Risk Neutrality
- 9 Modeling Hybrids: Advanced Issues
- 10 Modeling Hybrids: Handling Credit
- 11 Constant Elasticity of Variance
-
12 Pricing Contingent Debt
- 12.1 Introduction
- 12.2 Credit Derivatives Method
- 12.3 Equity Derivatives Method
- 12.4 Coupon Deferral
- 12.5 Using Lattice Models
- 12.6 Linking Credit to Equity
- 12.7 CoCos with Upside: CoCoCo
- 12.8 Adding Stochastic Credit
- 12.9 Avoiding Death Spirals
- 12.10 Appendix: Pricing Contingent Debt on a Trinomial Tree
- 13 Multi-Factor Models for Hybrids
- References
- Index
Product information
- Title: The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds and Bail-In
- Author(s):
- Release date: May 2014
- Publisher(s): Wiley
- ISBN: 9781118449998
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