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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