Books

 A list of books that are useful for those with an interest in hybrid financial instruments from a structuring, regulatory or valuation perspective. 

The Handbook of Hybrid Securities: Convertible Bonds, Coco Bonds and Bail-in

Authors : Jan De Spiegeleer, Cynthia Van Hulle and  Wim Schoutens

This handbook covers hybrid financial securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. 

The book covers in detail the newest member in the hybrid family: CoCo bonds. The risk of CoCo bonds is analyzed in detail and the reader is introduced in several valuation techiques of contingent debt. 

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Handbook of Convertible Bonds

Authors : Jan De Spiegeleer and Wim Schoutens

This handbook offers a complete picture of the convertible bond market. The anatomy of convertibles is covered through real world examples. A broad set of instrument features such as ratchets, resets, calls and puts get an explanation. There is an extensive coverage of the several convertible bond pricing models going from the standard lattice models to the more advanced American Monte Carlo technique. In a third section the authors cover the risk management of a convertible bond portfolio. 

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Contingent Convertible Notes

Authors : Jan De Spiegeleer and Wim Schoutens

This is the very first CoCo book ever. Contingent Convertibles (CoCos) are covered at length in this book. This work covers all the different aspects of the big CoCo debate : triggering mechanism, regulatory framework, bail-in capital,.. The books comes also with two practical pricing approach to value contingent debt. The dynamics of this category of hybrid debt has also been studied.  

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