CoCo bonds and implied CET1 volatility
提出隐含普通股一级资本（CET1）波动率概念和风险调整触发距离，从CoCo债券市场价格推导隐含CET1波动率，发现同一银行发行的不同CoCo债券隐含波动率相近，并用于分析ECB压力测试。
s at AFMathConf 2016 CoCo Bonds and Implied CET1 Volatility Ine Marquet KU Leuven Dep. of Mathematics, Celestijnenlaan 200B, 3001 Heverlee Belgium ine.marquet@wis.kuleuven.be Joint work with: J. De Spiegeleer, W. Schoutens In this talk we introduce the notion of implied Common Equity Tier 1 volatility and the concept of a risk-adjusted distance to trigger. Using a derivatives-based valuation approach, we are able to derive the implied CET1 volatility from the market price of a CoCo bond in a Black-Scholes setting. The numerical results show how different contingent convertibles issued by the same bank and sharing a similar contractual CET1 trigger, have almost identical implied CET1 volatility levels. The same results confirm the difference in market risk between Tier 2 and Additional Tier 1 CoCo bonds. The ability to obtain an implied level for the CET1 volatility offers other interesting results. We are able to determine the implied CET1 level corresponding to a coupon cancellation. It further allowed us for example to look at the severity of one of the stress tests imposed by the ECB on European banks in November 2014. In that perspective we were also able to derive implied PONV CET1 levels.