Jan De Spiegeleer

RiskConcile

Kapeldreef 60

Leuven, 3000

Belgium

http://www.riskconcile.com

SCHOLARLY PAPERS

14

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Top 10,470

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5,637

SSRN CITATIONS
Rank 19,436

SSRN RANKINGS

Top 19,436

in Total Papers Citations

37

CROSSREF CITATIONS

17

Scholarly Papers (14)

1.

Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

Number of pages: 15 Posted: 20 Jun 2018
Jan De Spiegeleer, Dilip B. Madan, Sofie Reyners and Wim Schoutens
RiskConcile, University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 1,978 (9,686)
Citation 10

Abstract:

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Machine learning, Derivatives, Hedging, Implied volatility

2.

CoCo Bonds with Extension Risk

Number of pages: 33 Posted: 05 Feb 2014
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
Downloads 931 (30,617)
Citation 2

Abstract:

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contingent capital, CoCo bonds, extension risk, bail-in, additional Tier 1, Tier 2

3.

Contingent Conversion Convertible Bond: New Avenue to Raise Bank Capital

Number of pages: 22 Posted: 05 Jan 2013
Joint Research Centre, Italy, Europoean Commission - Joint Reserach Centre, RiskConcile and KU Leuven - Department of Mathematics
Downloads 777 (39,293)
Citation 1

Abstract:

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G13, G18, G21, C15

4.

CoCo Bonds and Implied CET1 Volatility

Number of pages: 27 Posted: 10 Mar 2015 Last Revised: 18 Dec 2015
Jan De Spiegeleer, Stephan Höcht, Ine Marquet and Wim Schoutens
RiskConcile, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 716 (43,922)
Citation 2

Abstract:

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contingent convertibles, CoCo bonds, CET1, Core Equity Tier 1, PONV, Point of Non-Viability

5.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
University of Barcelona, RiskConcile, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 405 (89,473)
Citation 5

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Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation

6.

Steering a Bank Around a Death Spiral: Multiple Trigger CoCos

Number of pages: 16 Posted: 26 Dec 2011
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
Downloads 272 (138,440)
Citation 1

Abstract:

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Contingent Capital, CoCo, Death Spiral

7.

Sustainable Capital Instruments and Their Role in Prudential Policy: Reverse Green Bonds.

Number of pages: 17 Posted: 08 Jul 2019
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
Downloads 205 (182,127)
Citation 1

Abstract:

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green bonds, reverse green bonds, sustainable investing

8.

Are Banks Now Safer? What Can We Learn from the CoCo Markets?

Number of pages: 6 Posted: 21 Aug 2015
Jan De Spiegeleer, Stephan Höcht and Wim Schoutens
RiskConcile, Independent and KU Leuven - Department of Mathematics
Downloads 165 (220,556)
Citation 1

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9.

ESG: A New Dimension in Portfolio Allocation

Number of pages: 37 Posted: 02 Dec 2020
RiskConcile, Technische Universität München (TUM), affiliation not provided to SSRN, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 159 (227,517)

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ESG, portfolio allocation, investment strategies, ESG ratings, greenhouse gas intensity

10.

The Skin-in-the-Game Bond: A Novel Sustainable Capital Instrument

Number of pages: 25 Posted: 23 Apr 2021
KU LeuvenUniversity of Amsterdam, RiskConcile, KU Leuven - Department of Mathematics and KU Leuven - Department of Accounting, Finance and Insurance
Downloads 28 (574,877)

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contingent convertible bond, skin-in-the-game bond, sustainable finance, ESG, sustainable capital instrument

11.

Multiple Trigger CoCos: Contingent Debt Without Death Spiral Risk

Financial Markets, Institutions & Instruments, Vol. 22, Issue 2, pp. 129-141, 2013
Number of pages: 13 Posted: 20 Apr 2013
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
Downloads 1 (776,901)
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12.

Pricing Contingent Convertibles: A Derivatives Approach

Posted: 20 May 2019
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
Downloads 0 (793,963)
Citation 8

Abstract:

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CoCos, Contingent, Capital, Derivatives

13.

The Impact of a New Coco Issuance on the Price Performance of Outstanding Cocos

Posted: 14 Mar 2015
Jan De Spiegeleer, Stephan Höcht, Ine Marquet and Wim Schoutens
RiskConcile, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics

Abstract:

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contingent convertibles, CoCo bonds, new issuance

14.

The Impact of Skew on the Pricing of Coco Bonds

Posted: 01 Apr 2014
Jan De Spiegeleer, Monika B. Forys, Ine Marquet and Wim Schoutens
RiskConcile, KU Leuven - Department of Mathematics, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics

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