The new generation of hybrid securities: introduction to contingent convertibles (CoCos) and their loss-absorption capacity: case study: Barclays’ and Deutsche Bank’s CoCos
Mancini, Lucrezia (A.A. 2022/2023) The new generation of hybrid securities: introduction to contingent convertibles (CoCos) and their loss-absorption capacity: case study: Barclays’ and Deutsche Bank’s CoCos. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 135. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Introduction to CoCo bonds. Contingent convertible bonds: theoretical definition. Basel III capital instruments. The emergence of contingent convertible bonds. Design of a CoCo bond. Capital management: CoCo bonds as win-win tools. Benefits and risks of CoCo bonds: from the inventor's point of view. Benefits and risks of CoCo bonds: from the issuer's point of view. Overview of EU recovery and resolution regime. Going concern and gone concern tools: focus on CoCo bond. Recovery planning and early intervention. Ponv and resolution stage. CoCo pricing methods. Credit derivatives approach. Equity derivatives approach. CET1 volatility model. The CoCos market. Case study: Barclays' equity convertible CoCo. Case study: Deutsche Bank’s write-down CoCo.
References
Bibliografia: pp. 112-119. Sitografia: pp. 120-121.
| 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: | Risk management |
| Thesis Supervisor: | Penza, Daniele |
| Thesis Co-Supervisor: | Murro, Pierluigi |
| Academic Year: | 2022/2023 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 19 Dec 2023 11:50 |
| Last Modified: | 19 Dec 2023 11:50 |
| URI: | https://tesi.luiss.it/id/eprint/37361 |
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