Extracting implied volatilities from bank bonds

DOI10.1080/14697688.2023.2226370MaRDI QIDQ6077441zbMATH OpenOpenAlexFDO

Authors 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

AT1 bondscapital requirementsCET1 ratioCoCo bondscredit default swapsfirm value modelsimplied CET1 volatilitysubordinated bonds

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(3)

• Market implied volatilities for defaultable bonds
• Implied risk exposures
• Volatility impacts on the European banking sector: GFC and COVID-19

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