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Title: Analysis of the Risk Management Strategies for Contingent Convertible Bonds
Authors: 林士貴
Lin, Shih-Kuei
Chen, Ting-Fu
Lin, Chien-Tsang
Contributors: 金融系
Keywords: Contingent convertible bonds, static hedge, hedging performance, value at risk
或有可轉換債券; 靜態避險; 避險績效; 風險值
Date: 2016-12
Issue Date: 2019-12-19 14:38:09 (UTC+8)
Abstract: The contingent convertible bond (CoCo) is a structured instrument that emerged at the end of 2009. This paper explores the CoCo risk management strategy from the standpoint of investors. Taking the Equity Derivation Law as its framework, this study analyzes the hedging performance based on the static hedging of options and then introduces jumps risk to allow sudden bank defaults, observing the changes in hedging performance. By scenario analysis, this study finds that CoCo can control its investment risks via equity derivatives and that static hedging can effectively reduce the standard deviation and value-at-risk (VaR).
Relation: 財務金融學刊, 24卷4期, pp.47 - 83
Data Type: article
DOI 連結: 
Appears in Collections:[金融學系] 期刊論文

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