Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/235613 
Year of Publication: 
2020
Series/Report no.: 
Frankfurt School - Working Paper Series No. 229
Publisher: 
Frankfurt School of Finance & Management, Frankfurt a. M.
Abstract: 
The aim of this working paper is to introduce the reader to the relatively new instrument of AT 1 bonds. For this purpose, the strict regulatory requirements for the instrument class are explained and the capital requirements of banks are outlined. Afterwards, the market for AT 1 bonds is analyzed and the interests of the respective market participants are discussed. Finally, the Credit Derivatives Model, the Equity Derivatives Model and the Value at Risk model are applied to 20 AT 1 bonds issued by various European banks in order to find the extra credit spread and to determine the risk associated with this bond class.
Subjects: 
AT1
Additional Tier 1
Regulatory Requirements
Bank Capital Management
Capital Buffer
Capital Requirements Regulation (CRR)
Capital Requirements Directive IV
Hybrid Tier 1
Pillar 1 Requirements
JEL: 
G12
G18
G28
Document Type: 
Working Paper

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