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The handbook of hybrid securities : convertible bonds, coco bonds, and bail-in
Author
Title
The handbook of hybrid securities : convertible bonds, coco bonds, and bail-in / Jan De Spiegeleer, Wim Schoutens, Cynthia Vanhulle.
ISBN
9781118450024
1118450027
9781118450000
1118450000
9781118862650
1118862651
1118449991
9781118449998
9781322044743
1322044740
9781118449998
Publication
Chichester, West Sussex : John Wiley Sons, 2014.
Physical Description
1 online resource
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Summary
"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 "-- Provided by publisher.
Variant and related titles
O'Reilly Safari. OCLC KB.
Other formats
Print version: Spiegeleer, Jan de. Handbook of hybrid securities. Hoboken, New Jersey : Wiley, 2014
Format
Books / Online
Language
English
Added to Catalog
January 14, 2020
Bibliography
Includes bibliographical references and index.
Contents
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.
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.
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.
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.
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.
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