Ine Marquet

KU Leuven - Department of Mathematics

Celestijnenlaan 200 B

Leuven, B-3001

Belgium

SCHOLARLY PAPERS

4

DOWNLOADS

763

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

CoCo Bonds and Implied CET1 Volatility

Number of pages: 27 Posted: 10 Mar 2015 Last Revised: 18 Dec 2015
RiskConcile, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 721 (44,248)
Citation 2

Abstract:

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

2.

Conic CPPIs

Number of pages: 21 Posted: 05 Sep 2017
Ine Marquet and Wim Schoutens
KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 42 (509,626)

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CPPI, Conic Finance, Trading Strategy, distorted expectations

3.

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

Posted: 14 Mar 2015
RiskConcile, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics

Abstract:

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contingent convertibles, CoCo bonds, new issuance

4.

The Impact of Skew on the Pricing of Coco Bonds

Posted: 01 Apr 2014
RiskConcile, KU Leuven - Department of Mathematics, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics

Abstract:

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