Opis: Hybrid Securities - Kamil Liberadzki, Marcin Liberadzki

The book provides a comprehensive analysis from mathematical, legal and financial perspectives on the pricing of hybrids.PREFACE 1. THE DEFINITION OF HYBRID SECURITIES 9 1.1. Introduction 1.2. Core features of hybrids 2. EVOLUTION OF HYBRIDS 2.1. Preferred shares 2.2. Perpetual bonds 2.3. Subordinated bonds 2.4. Convertible bonds 2.5. Reverse convertible bonds 2.6. Mandatory convertible bonds 2.7. Catastrophe (CAT) Bonds and Catastrophe Mortality (CATM) Bonds 2.8. Basel I and Basel II capital instruments 2.9. Solvency I capital instruments 2.10. Basel III capital instruments 2.11. Bail-in bonds 2.12 Comparison of different conversion into equity mechanisms 2.13 Conclusions 3. LEGAL FRAMEWORK FOR FINANCIAL HYBRIDS IN THE BANKING INDUSTRY 3.1. Transposition of Basel III 3.2. Bank Resolution and Recovery Directive 3.3. Banking Union framework 4. CRD IV/CRR PACKAGE LEGAL FRAMEWORK 4.1. Overview 4.2. Common Equity Tier 1 financial instruments 4.3. Deduction mechanism 5. CRR ADDITIONAL TIER 1 FINANCIAL INSTRUMENTS 5.1. General remarks 5.2. Maturity 5.3. Deferral 5.4. Subordination 5.5. Contingent conversion and write-down 6. CRR TIER 2 BONDS 6.1. General remarks 6.2. Maturity 6.3. Regulatory amortization of T2 financial instruments 6.4. Deferral 6.5. Subordination 6.6. Contingent conversion (write-down) 7. THE ROLE OF HYBRID SECURITIES IN THE BRRD 7.1. Overview 7.2. Early intervention measures 7.3. Resolution 7.4. Bail-in tool 8. HYBRID SECURITIES ISSUED BY INSURERS 8.1. General remarks 8.2. Tier 1 hybrid securities 8.3. Tier 2 and Tier 3 hybrid securities 9. CORPORATE HYBRIDS 9.1. Characteristics of corporate hybrids 9.2. Monetizing treasury shares of MOL through issue of perpetual exchangeable bonds via magnolia finance ltd ('Transaction') 10. ISSUANCE OF HYBRIDS 11. PUBLIC OFFERING AND ADMISSION TO TRADING 11.1. Overview 11.2. Scope of the Prospectus Directive 11.3. Financial hybrids as 'non-equity securities' 11.4. Obligation to publish a prospectus 11.5. Stand-alone issue vs. debt programme 11.6. Responsibility attached to prospectus 11.7. Disclosure requirements 12. REGULAR AND TIMELY ONGOING DISCLOSURE 86 12.1. Overview 12.2. Transparency Directive 13. FINANCIAL INTERMEDIATION 13.1. Overview 13.2. MiFID 13.3. MiFID II/MiFIR 14. NON-EEA COCOS 14.1. Overview 14.2 Switzerland 14.3. The United States 14.4. BRASIL 14.5. CHINA 14.6. BASEL III-COMPLIANT SUKUK 15. BONDS CREDIT RISK MODELING 15.1 Introduction 15.2 Bond pricing stochastic approach 15.3 Credit spreads 15.4 The probability of default 16. CONTINGENT CONVERTIBLE BONDS PRICING 16.1. Introduction 16.2. Assets dynamics modeling 16.3. CoCo pricing with a binomial model 16.4. Credit derivatives method 16.5. Equity derivatives method 16.6. The Deutsche Bank CoCos pricing a case study 17. STRUCTURAL MODEL FOR CORPORATE HYBRID VALUATION 17.1. The model 17.2. Last maturity case 17.3. Valuation of deferrable coupons Appendix 18. HYBRID SECURITIES' IMPACT ON RISK 18.1 Overview 18.2. Impact of new CoCos on issuer's solvability 18.3. Introduction to market contagion 18.4. Market contagion definitions 18.5. A framework for market contagion modeling 18.6. Contagion at the bond market REFERENCES

Szczegóły: Hybrid Securities - Kamil Liberadzki, Marcin Liberadzki

Tytuł: Hybrid Securities
Autor: Kamil Liberadzki, Marcin Liberadzki
Wydawnictwo: Palgrave Macmillan
ISBN: 9781137589705
Rok wydania: 2016
Ilość stron: 236
Oprawa: Twarda
Waga: 0.43 kg

Recenzje: Hybrid Securities - Kamil Liberadzki, Marcin Liberadzki