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Results for “CET1” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 2 · desk corpus 0
arXiv · arXiv q-fin · 2026
We propose a novel valuation framework for contingent convertible (CoCo) bonds based on the issuing bank's Common Equity Tier 1 (CET1) ratio, which is widely acknowledged as an indicator of a bank's solvency. Our approach develops a bivariate jump-diffusion model that captures the dynamic relationship linking the CET1 ratios, share prices, and CoCo bond prices, incorporating both continuous market movements and corre…
Li Chen, Liang Wang, Weixuan Xia
arXiv · arXiv q-fin · 2024
We use granular regulatory data on euro interest rate swap trades between January 2021 and June 2023 to assess whether derivative positions of Italian banks can offset losses on their debt securities holdings should interest rates rise unexpectedly. At the aggregate level of the banking system, we find that a 100-basis-point upward shift of the yield curve increases on average the value of swaps by 3.65% of Common Eq…
Michele Leonardo Bianchi, Dario Ruzzi, Anatoli Segura
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