Extracting implied volatilities from bank bonds

DOI10.1080/14697688.2023.2226370zbMath1522.91264OpenAlexW4383681727MaRDI QIDQ6077441

Michele Leonardo Bianchi, Gian Luca Tassinari

Publication date: 25 September 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2226370

zbMATH Keywords

credit default swapscapital requirementsCoCo bondsfirm value modelsAT1 bondsCET1 ratioimplied CET1 volatilitysubordinated bonds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

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• Tempered stable process, first passage time, and path-dependent option pricing
• Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes
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• Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
• Market implied volatilities for defaultable bonds
• Calibrating structural models: a new methodology based on stock and credit default swap data
• Systemic risk in the European sovereign and banking system
• Chinese write-down bonds: issuance and bank capital structure
• Chinese write-down bonds and bank capital structure
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• An equilibrium characterization of the term structure
• ACCOUNTING NOISE AND THE PRICING OF CoCos

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