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Paper / 2018SMQ / 152886020786249
Accounting Noise and the Pricing of CoCos
Mike Derksen / Peter Spreij / Sweder van Wijnbergen
fixed incomeResource overview

Accounting Noise and the Pricing of CoCos

Paper2018

by Mike Derksen, Peter Spreij, Sweder van Wijnbergen

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fixed income

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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