Extracting implied volatilities from bank bonds (Q6077441)
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scientific article; zbMATH DE number 7742099
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extracting implied volatilities from bank bonds |
scientific article; zbMATH DE number 7742099 |
Statements
Extracting implied volatilities from bank bonds (English)
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25 September 2023
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subordinated bonds
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AT1 bonds
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CoCo bonds
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credit default swaps
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capital requirements
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CET1 ratio
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implied CET1 volatility
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firm value models
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