TAILIEUCHUNG - Modelling and Pricing Hybrid bonds: Julien TURC Head of Quantitative Research, Société Générale CIB

The structure and dynamics of proteins and enzymatic activity is intrinsically linked to the strength and positions of hydrogen bonds in the system.[1] A hydrogen bond results from an attractive force between an electronegative atom and a hydrogen atom.[2] The hydrogen is attached to a strongly electronegative heteroatom, such as oxygen or nitrogen, termed the hydrogen- bond donor. This electronegative atom decentralizes the electron cloud around the hydrogen nucleus, leaving the hydrogen atom with a positive partial charge. Since the hydrogen atom is smaller than other atoms, the resulting partial charge represents a large charge density. A hydrogen bond results when this strong positive charge density attracts a lone pair of electrons. | 1 Credit Research Hybrid bonds Julien TURC Head of Quantitative Research europSociété Générale CIB EURQIPLACE BSOC1ETE generale Cross Asset Research 2 Overview Common features of hybrid securities Pricing hybrid bonds . The multiple method SG s quantitative approach Relative value analysis Appendices Characteristics of existing issues Sensitivity analysis and stress-testing of the model . Technical details on the model EURqpPLACE PW SOCIETE GENERALE DBBKDEBBEKKKI HM Crơss Asset Research 3 Credit Research Common features of hybrid bonds EURQPLACE BSOC1ETE generale Cross Asset .

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