Pricing of contingent convertible bond: a theoretical and empirical analysis: the ING Groep case
Fioravanti, Stefano (A.A. 2019/2020) Pricing of contingent convertible bond: a theoretical and empirical analysis: the ING Groep case. Tesi di Laurea in Corporate finance, Luiss Guido Carli, relatore Paolo Porchia, pp. 102. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Anatomy of CoCo. Loss absorption mechanism. Trigger event. Conversion ratio. Types of CoCo bond proposed by the literature. Pricing metodologies for contingent convertible securities. Credit derivative method. Equity derivative model. Structural model. Case study: ING Groep N.V. AT1 contingent convertible. ING CoCo bond: an overview. Parameters of ING CoCo. ING CoCo bond: credit derivative model application. ING CoCo bond: equity derivative model application.
References
Bibliografia: pp. 89-91.
| 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: | Corporate finance |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2019/2020 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 07 May 2021 06:29 |
| Last Modified: | 07 May 2021 06:29 |
| URI: | https://tesi.luiss.it/id/eprint/29388 |
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