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- W3123404786 abstract "After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the authorities deem the institution to be under-capitalized. This paper discusses this Contingent Capital (or Coco) bond instrument and presents a pricing methodology based on firm value models. The model is calibrated to readily available market data. A stress test of model parameters is illustrated to account for potential model risk. Finally, a brief overview of how the instrument performs is presented." @default.
- W3123404786 created "2021-02-01" @default.
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- W3123404786 date "2013-02-01" @default.
- W3123404786 modified "2023-09-27" @default.
- W3123404786 title "CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models" @default.
- W3123404786 hasPublicationYear "2013" @default.
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