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香港科技大学 Yue Kuen Kwok (郭宇权)教授:Enhanced Equity-Credit Modeling for Contingent Convertibles

(发布于:2016-01-13 )

主 题:Enhanced Equity-Credit Modeling for Contingent Convertibles

主讲人:Yue Kuen Kwok (郭宇权) 香港科技大学教授

主持人:经济数学学院 马敬堂教授

时 间:2016年1月15日(星期五)上午11:00

地 点:柳林校区通博楼B412

主办单位:经济数学学院  科研处

主讲人简介:Yue Kuen Kwok (郭宇权) is a Professor in the Department of Mathematics, the Hong Kong University of Science and Technology (HKUST). He is currently the Program Director of MSc degree in Financial Mathematics as well as MSc degree in Mathematics and Economics at HKUST. Professor Kwok’s research interests concentrate on pricing and risk management of equity and fixed income derivatives. He has published more than 100 research articles in major research journals in financial mathematics and mathematical sciences, like Mathematical Finance, SIAM Journals, Quantitative Finance, Journal of Economic and Dynamics Control. In addition, he is the author of the book titled “Mathematical Models of Financial Derivatives”, second edition, (2008) published by Springer. He has provided consulting services to a number of financial institutions on various aspects of derivative trading and credit risk management. He has served in the editorial board of Journal of Economic and Dynamics Control and Asian-Pacific Financial Markets. Yue Kuen Kwok received his PhD degree in Applied Mathematics from Brown University in 1985.

内容提要: Contingent convertibles are characterized by forced equity conversion under accounting trigger, which occurs when the capital ratio of the issuing bank falls below some contractual threshold. Also, under the point-of-non-viability trigger, the supervisory authority may enforce equity conversion when the financial health of the bank deteriorates to the distressed level. In this paper, we propose an equity-credit modelling of the joint process of the stock price and capital ratio that integrates both the structural approach of accounting trigger and reduced form approach of point-of-non-viability trigger of equity conversion. We also construct effective Fortet algorithms and finite difference schemes for numerical pricing of CoCo bonds under various forms of equity conversion payoff. The pricing properties of the CoCo bonds under various contractual specifications and market conditions are examined.