Advertisement

Table of contents

  1. Front Matter
    Pages i-xii
  2. Kamil Liberadzki, Marcin Liberadzki
    Pages 1-7
  3. Kamil Liberadzki, Marcin Liberadzki
    Pages 9-22
  4. Kamil Liberadzki, Marcin Liberadzki
    Pages 23-25
  5. Kamil Liberadzki, Marcin Liberadzki
    Pages 27-30
  6. Kamil Liberadzki, Marcin Liberadzki
    Pages 31-56
  7. Kamil Liberadzki, Marcin Liberadzki
    Pages 57-61
  8. Kamil Liberadzki, Marcin Liberadzki
    Pages 63-79
  9. Kamil Liberadzki, Marcin Liberadzki
    Pages 81-85
  10. Kamil Liberadzki, Marcin Liberadzki
    Pages 87-100
  11. Kamil Liberadzki, Marcin Liberadzki
    Pages 101-104
  12. Kamil Liberadzki, Marcin Liberadzki
    Pages 105-114
  13. Kamil Liberadzki, Marcin Liberadzki
    Pages 115-119
  14. Kamil Liberadzki, Marcin Liberadzki
    Pages 121-134
  15. Kamil Liberadzki, Marcin Liberadzki
    Pages 135-142
  16. Kamil Liberadzki, Marcin Liberadzki
    Pages 143-162
  17. Kamil Liberadzki, Marcin Liberadzki
    Pages 163-181
  18. Kamil Liberadzki, Marcin Liberadzki
    Pages 183-192
  19. Kamil Liberadzki, Marcin Liberadzki
    Pages 193-208
  20. Back Matter
    Pages 209-224

About this book

Introduction

Hybrid capital securities or 'hybrids' offer various benefits. They offer flexibility equity without shareholder dilution, provide protection to senior creditors, are a stable source of long-term funding for healthy companies, and help insurers and banks meet regulatory and rating agency capital requirements. Risks and features of hybrid securities are expressed in the credit spread of some relatively new financial instruments, but no structural fundamentals exist for to price hybrids precisely.

This book proposes a model for the pricing of hybrids. It begins by explaining the concept of hybrids as well as their equity- and debt-like characteristics. Different types of hybrids are presented, including preference shares, convertible bonds, contingent convertibles (CoCos) and bail-in bonds. The authors then present analysis of regulatory regimes' impact on hybrids. They discuss the types of hybrid bonds that are contemplated in the Capital Requirements Regulation (CRR) and Banking Union mechanism. They then present an in-depth examination of hybrids pricing and risk assessment techniques. The book provides a comprehensive analysis from mathematical, legal and financial perspectives in order to look at relatively new financial instruments and address problems with the pricing models of hybrids which are as yet unsolved.

Keywords

BRRD Basel III Deutsche bank bonds disclosure market contagion modeling models pricing risk value hybrid securities bank banking Banking Industry Basel I Basel II Basel III Bonds CRD IV Credit Derivatives Credit Requirements Directive derivatives Treasury

Authors and affiliations

  • Kamil Liberadzki
    • 1
  • Marcin Liberadzki
    • 1
  1. 1.Warsaw School of EconomicsPoland

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-137-58971-2
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2016
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Economics and Finance
  • Print ISBN 978-1-349-88780-4
  • Online ISBN 978-1-137-58971-2
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking