Voie du Chariot 3
RiskConcile & KU Leuven
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CoCos, Contingent, Capital, Derivatives
G13, G18, G21, C15
contingent capital, CoCo bonds, extension risk, bail-in, additional Tier 1, Tier 2
Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation
Contingent Capital, CoCo, Death Spiral
contingent convertibles, CoCo bonds, CET1, Core Equity Tier 1, PONV, Point of Non-Viability
contingent convertibles, CoCo bonds, new issuance
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