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Extracting implied volatilities from bank bonds - MaRDI portal

Extracting implied volatilities from bank bonds (Q6077441)

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scientific article; zbMATH DE number 7742099
Language Label Description Also known as
English
Extracting implied volatilities from bank bonds
scientific article; zbMATH DE number 7742099

    Statements

    title
    Extracting implied volatilities from bank bonds (English)
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    publication date
    25 September 2023
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    zbMATH Keywords
    subordinated bonds
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    AT1 bonds
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    CoCo bonds
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    credit default swaps
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    capital requirements
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    CET1 ratio
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    implied CET1 volatility
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    firm value models
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    Identifiers

    zbMATH DE Number
    7742099
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    OpenAlex ID
    W4383681727
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