De Spiegeleer / Schoutens / Van Hulle The Handbook of Hybrid Securities

Convertible Bonds, CoCo Bonds and Bail-In
1. Auflage 2014
ISBN: 978-1-118-45000-0
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 408 Seiten, E-Book

Reihe: Wiley Finance Series

Introducing a revolutionary new quantitative approach to hybridsecurities valuation and risk management
To an equity trader they are shares. For the trader at the fixedincome desk, they are bonds (after all, they pay coupons, so what'sthe problem?). They are hybrid securities. Neither equity nor debt,they possess characteristics of both, and carry unique risks thatcannot be ignored, but are often woefully misunderstood. The firstand only book of its kind, The Handbook of Hybrid Securitiesdispels the many myths and misconceptions about hybrid securitiesand arms you with a quantitative, practical approach to dealingwith them from a valuation and risk management point of view.
* Describes a unique, quantitative approach to hybrid valuationand risk management that uses new structural and multi-factormodels
* Provides strategies for the full range of hybrid asset classes,including convertible bonds, preferreds, trust preferreds,contingent convertibles, bonds labeled "additional Tier 1," andmore
* Offers an expert review of current regulatory climate regardinghybrids, globally, and explores likely political developments andtheir potential impact on the hybrid market
* The most up-to-date, in-depth book on the subject, this is avaluable working resource for traders, analysts and risk managers,and a indispensable reference for regulators

Autoren/Hrsg.

De Spiegeleer, Jan

Schoutens, Wim

Van Hulle, Cynthia

Über Autor(innen)

Jan De Spiegeleer (Geneva, Switzerland) is head of riskmanagement at Jabre Capital Partners, a Geneva-based hedge fund. Heearned an extensive knowledge of derivatives pricing, hedging andtrading while working for KBC Financial Products in London, wherehe was managing director of the equity derivatives desk. He alsoran his own market neutral statistical arbitrage hedge fund (EQMEurope) after founding Erasmus capital in 2004. Prior to thisfinancial career, Jan served ten years in the Belgian Army as anOfficer. With Wim Schoutens he co-authored the Handbook ofConvertible Bonds published by Wiley.
Cynthia Van Hulle (Leuven, Belgium) is a full professorof Finance at the Department of Accounting, Finance and Insuranceof the Faculty of Economics and Business at the Catholic Universityof Leuven. Over the last 20 years she has acquired extensivepractical experience through her board memberships in the financialsector and organization of in-company training programs. She haspublished considerably in scientific journals a.o. Journal ofBanking and Finance, Journal of Finance, Journal ofCorporate Finance, European Financial Management,Journal of Business Research, Journal of Business,Finance and Accounting, Small Business Economics. Shealso held the Francqui-chair and is co-author of several books incorporate finance.
Wim Schoutens (Leuven, Belgium) is a research professorin financial engineering at the Department of Mathematics at theCatholic University of Leuven, Belgium. He has extensive practicalexperience of model implementation and is well known for hisconsulting work to the banking industry and other institutions. Inparticular, he is an independent expert advisor to the EuropeanCommission (DG-COMP) on impaired assets and asset relief measuresand has assessed in that position more than EUR 1 trillion ofassets; in particular he was one of the main expert advisors forthe stress test on the Spanish banks and the related bailouts. Wimis also the author of several books including ContingentConvertibles (CoCos): Structure and Pricing, the first bookever on Contingent Capital and CoCo bonds (written together withJan De Spiegeleer). He is Managing Editor of the InternationalJournal of Theoretical and Applied Finance and Associate Editor ofMathematical Finance, Quantitative Finance and Review ofDerivatives Research. Finally, he is member of the Belgium CPIcommission and independent director of the Board of AssénagonAsset Management S.A.