whitepapers

  • When a CoCo cracks

    On June 7th,2017 the Single Resolution Board transferred all shares and capital instruments of Banco Popular to Banco Santander. CoCo bond investors saw the value of their initial investment decimated and were painfully remembered of the risk embedded in the high coupon of the CoCo bond. They bought the cake...
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  • Jaccard distance and Portfolio Diversification

    This contribution illustrates how to quantify the diversification of a bond portfolio using the Jaccard Index as a distance metric. Starting from this Jaccard index, the results can be grouped into an adjacency matrix which on its turn can be transformed into a network graph. In our next white paper,...
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  • Anatomy of Cornish-Fisher

    In a previous contribution we worked out in detail the concept of Variance Equivalent Volatility (VEV) which has its roots embedded in the Cornish-Fisher expansion. This white paper drills down deeper into the Anatomy of Cornish-Fisher and points out possible pitfalls.  
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  • VaR Equivalent Volatility

    Regulators want clarity and transparency for the financial instruments offered to investors. A simple document (KID) was introduced to provide investors with clear facts and figures on the risks of a particular financial instrument. The new technical standards classify instruments using a new indicator: the SRI. This integer number takes...
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  • Connecting CoCos

    In this contribution we study the correlation between CoCo bonds using notions from graph theory. Using historical data we reveal those CoCo bonds showing the smallest degree of centrality with the rest of the universe.
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  • Regulatory Update (April 2016)

    AIFMD We want to share with you the most recent version of the AIMFD Q&A published by the Central Bank of Ireland on its website. This document sets out answers to queries likely to arise in relation to the implementation of the AIFMD. This publication assists in limiting any uncertainty...
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  • Are CoCos Cracking ?

    Guilty by design ? Contingent convertibles have been designed to absorb losses and this explains entirely their behaviour of the last couple of weeks. The embedded loss absorption works on two different levels : Coupon cancellation and Write-down / conversion. Indeed, AT1 CoCo bonds can have their coupons cancelled. Such...
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