Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?

Detalhes bibliográficos
Autor(a) principal: Reis, Diogo André Mendes
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/133349
Resumo: This study analyzes whether Contingent Convertible Bonds (CoCos) contribute to reduce the default risk of banks and insurance firms. An event study was performed to measure CoCos’ announcement effects on Credit Default Swaps(CDS)premiums. Within banks, we conclude that CoCos with a Temporary Write-Down (TWD CoCos), CoCos which convert when CET1 Ratio falls below5.125% (Low Trigger CoCos),and Equity Convertible CoCos which transfer high amounts of wealth to shareholders at conversion (High Marginal Wealth Transfer EC CoCos)are more effective in reducing default risk. Moreover, we find that CoCos contributed to decrease CDS premiums during the Covid-19 pandemic.
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spelling Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?BankingInsurance firmsCoCosCoCoCosRT1 CoCosDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis study analyzes whether Contingent Convertible Bonds (CoCos) contribute to reduce the default risk of banks and insurance firms. An event study was performed to measure CoCos’ announcement effects on Credit Default Swaps(CDS)premiums. Within banks, we conclude that CoCos with a Temporary Write-Down (TWD CoCos), CoCos which convert when CET1 Ratio falls below5.125% (Low Trigger CoCos),and Equity Convertible CoCos which transfer high amounts of wealth to shareholders at conversion (High Marginal Wealth Transfer EC CoCos)are more effective in reducing default risk. Moreover, we find that CoCos contributed to decrease CDS premiums during the Covid-19 pandemic.Pereira, João PedroRUNReis, Diogo André Mendes2021-06-292021-05-212024-05-21T00:00:00Z2021-06-29T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/133349TID:202769801enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:11:58Zoai:run.unl.pt:10362/133349Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:47:46.001049Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?
title Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?
spellingShingle Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?
Reis, Diogo André Mendes
Banking
Insurance firms
CoCos
CoCoCos
RT1 CoCos
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?
title_full Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?
title_fullStr Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?
title_full_unstemmed Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?
title_sort Contingent convertible bonds (Cocos): do Cocos enhance financial institutions- resilience?
author Reis, Diogo André Mendes
author_facet Reis, Diogo André Mendes
author_role author
dc.contributor.none.fl_str_mv Pereira, João Pedro
RUN
dc.contributor.author.fl_str_mv Reis, Diogo André Mendes
dc.subject.por.fl_str_mv Banking
Insurance firms
CoCos
CoCoCos
RT1 CoCos
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Banking
Insurance firms
CoCos
CoCoCos
RT1 CoCos
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This study analyzes whether Contingent Convertible Bonds (CoCos) contribute to reduce the default risk of banks and insurance firms. An event study was performed to measure CoCos’ announcement effects on Credit Default Swaps(CDS)premiums. Within banks, we conclude that CoCos with a Temporary Write-Down (TWD CoCos), CoCos which convert when CET1 Ratio falls below5.125% (Low Trigger CoCos),and Equity Convertible CoCos which transfer high amounts of wealth to shareholders at conversion (High Marginal Wealth Transfer EC CoCos)are more effective in reducing default risk. Moreover, we find that CoCos contributed to decrease CDS premiums during the Covid-19 pandemic.
publishDate 2021
dc.date.none.fl_str_mv 2021-06-29
2021-05-21
2021-06-29T00:00:00Z
2024-05-21T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/133349
TID:202769801
url http://hdl.handle.net/10362/133349
identifier_str_mv TID:202769801
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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