In this paper, we show how we can deploy machine learning techniques in the context of
traditional quant problems. We illustrate that for many classical problems, we can arrive at …

This article provides an in-depth analysis of pricing and structuring of contingent convertibles
(CoCos). These debt instruments convert into the equity of the issuing bank or suffer a write-…

Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk
management To an equity trader they are shares. For the trader at the fixed income desk, …

In this paper, we examine the impact of including environmental, social and governance (ESG)
criteria in the allocation of equity portfolios. We focus on the risk and return characteristics …

This is a complete guide to the pricing and risk management of convertible bond portfolios.
Convertible bonds can be complex because they have both equity and debt like features and …

Contingent Convertibles (“CoCos”) are contingent capital instruments which convert into
shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the …

We look at the problem of pricing CoCo bonds where the underlying risky asset dynamics
are given by a smile conform model, more precisely an exponential Lévy process …

This paper explores whether the high or low ESG rating of a company is related to the level
of its implied tail risk, measured on the basis of derivative data by implied skewness and …

… De Spiegeleer and Schoutens implemented an approach to calculate the expected call
date of the CoCo bond (De Spiegeleer and Schoutens Citation2014). An example to include …

This paper starts with the observation that the average issue size during 2012 of contingent
convertible (CoCo) bonds was more than $1 bn. Typically a CoCo is converted into shares …