An Improvement of Structural Pricing Model for Basel III-Compliant Additional Tier1 (AT1) Bonds

DOI Open Access
  • Sugiyama Taihei
    Graduate School of International Corporate Strategy, Hitotsubashi University
  • Nakagawa Hidetoshi
    School of Business Administration, Hitotsubashi University Business School

Bibliographic Information

Other Title
  • バーゼルⅢ適格Additional Tier1債券（AT1債）に対する構造型プライシングモデルの改良

Abstract

<p>Abstract. Additional Tier1 (AT1) bond is a defaultable fixed income security with some pre-specified triggers for mandatory principal reduction. In this paper, we improve a structural AT1 bond pricing model so as to consider not only default but such principalreduction trigger events such as Point Of Non-Viability trigger” as well as accounting trigger under both complete and incomplete information. We use some market price data of AT 1 bonds issued in Japan and Europe to discuss practical usefulness of our proposed model.</p>

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Details 詳細情報について

  • CRID
    1390282752330695296
  • NII Article ID
    130007711843
  • DOI
    10.11540/jsiamt.29.3_325
  • ISSN
    24240982
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
    • KAKEN
  • Abstract License Flag
    Disallowed

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