Notice bibliographique
- Notice
Type(s) de contenu et mode(s) de consultation : Texte noté : électronique
Auteur(s) : Spiegeleer, Jan de
Titre(s) : The handbook of hybrid securities [Texte électronique] : convertible bonds, coco bonds, and bail-in / Jan De Spiegeleer, Wim Schoutens, Cynthia Vanhulle
Publication : Chichester, West Sussex : John Wiley Sons, 2014
Description matérielle : 1 online resource
Collection : Wiley finance series
Note(s) : Includes bibliographical references and index. - Print version record and CIP data provided by publisher.
"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 "
Autre(s) auteur(s) : Schoutens, Wim. Fonction indéterminée
Vanhulle, Cynthia (1956-....). Fonction indéterminée
Sujet(s) : Obligations convertibles
Indice(s) Dewey :
332.632 044 (23e éd.) = Catégories générales de titres
Identifiants, prix et caractéristiques : ISBN 9781118862650
Identifiant de la notice : ark:/12148/cb44655446q
Notice n° :
FRBNF44655446
(notice reprise d'un réservoir extérieur)
Table des matières : 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.
