Ferretti, Emanuele (A.A. 2019/2020) An empirical analysis of contingent convertible bonds pricing methods: an overview of the hybrid securities in the capital requirement framework. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 80. [Master's Degree Thesis]

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Abstract/Index

CoCo security design. A briefly overview of CoCos. Difference among bonds: convertible, CoCo, CoCoCo. Absorption mechanism. Triggers. Legal framework, market and literature review. CoCo market. Trends consideration. Regulatory framework. Pricing methods. Equity derivative model. Credit derivative model. Structural model. Empirical analysis. Preliminary regression analysis. Models outputs. Models comparison. CoCos macroprudential tool.

References

Bibliografia: pp. 59-61. Sitografia: p. 62.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair:	Asset pricing
Thesis Supervisor:	Porchia, Paolo
Thesis Co-Supervisor:	Pirra, Marco
Academic Year:	2019/2020
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	06 May 2021 13:40
Last Modified:	06 May 2021 13:40
URI:	https://tesi.luiss.it/id/eprint/29382

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