Jan De Spiegeleer

RiskConcile & KU Leuven

Voie du Chariot 3

Lausanne, 1003

Switzerland

http://www.riskconcile.com

SCHOLARLY PAPERS

10

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CITATIONS
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11

Scholarly Papers (10)

1.

Pricing Contingent Convertibles: A Derivatives Approach

Number of pages: 36 Posted: 30 Mar 2011 Last Revised: 24 Jun 2011
Jan De Spiegeleer and Wim Schoutens
RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 1,560 (4,891)
Citation 8

Abstract:

CoCos, Contingent, Capital, Derivatives

2.

Contingent Conversion Convertible Bond: New Avenue to Raise Bank Capital

Number of pages: 22 Posted: 05 Jan 2013
Joint Research Centre, Italy, Europoean Commission - Joint Reserach Centre, RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 453 (34,134)

Abstract:

G13, G18, G21, C15

3.

CoCo Bonds with Extension Risk

Number of pages: 33 Posted: 05 Feb 2014
Jan De Spiegeleer and Wim Schoutens
RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 440 (27,865)

Abstract:

contingent capital, CoCo bonds, extension risk, bail-in, additional Tier 1, Tier 2

4.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
University of Barcelona, RiskConcile & KU Leuven, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 240 (77,238)
Citation 3

Abstract:

Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation

5.

The Impact of Skew on the Pricing of Coco Bonds

Posted: 01 Apr 2014
Jan De Spiegeleer, Monika B. Forys, Ine Marquet and Wim Schoutens
RiskConcile & KU Leuven, KU Leuven - Department of Mathematics, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics

Abstract:

6.

Steering a Bank Around a Death Spiral: Multiple Trigger CoCos

Number of pages: 16 Posted: 26 Dec 2011
Jan De Spiegeleer and Wim Schoutens
RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 206 (111,171)

Abstract:

Contingent Capital, CoCo, Death Spiral

7.

CoCo Bonds and Implied CET1 Volatility

Number of pages: 27 Posted: 10 Mar 2015 Last Revised: 18 Dec 2015
Jan De Spiegeleer, Stephan Höcht, Ine Marquet and Wim Schoutens
RiskConcile & KU Leuven, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 200 (38,510)

Abstract:

contingent convertibles, CoCo bonds, CET1, Core Equity Tier 1, PONV, Point of Non-Viability

8.

The Impact of a New Coco Issuance on the Price Performance of Outstanding Cocos

Posted: 14 Mar 2015
Jan De Spiegeleer, Stephan Höcht, Ine Marquet and Wim Schoutens
RiskConcile & KU Leuven, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics

Abstract:

contingent convertibles, CoCo bonds, new issuance

9.

Are Banks Now Safer? What Can We Learn from the CoCo Markets?

Number of pages: 6 Posted: 21 Aug 2015
Jan De Spiegeleer, Stephan Höcht and Wim Schoutens
RiskConcile & KU Leuven, Independent and KU Leuven - Department of Mathematics
Downloads 29 (188,768)

Abstract:

10.

Multiple Trigger CoCos: Contingent Debt Without Death Spiral Risk

Financial Markets, Institutions & Instruments, Vol. 22, Issue 2, pp. 129-141, 2013
Number of pages: 13 Posted: 20 Apr 2013
Jan De Spiegeleer and Wim Schoutens
RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 1 (554,999)
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Abstract: