Close form pricing formulas for Coupon Cancellable CoCos

Contingent Convertibles (“CoCos”) are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect: by actively hedging the equity risk, investors can (unintentionally) force the conversion by making the share price deteriorate and eventually trigger the conversion.

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Year of publication:	2014
Authors:	Corcuera, José Manuel ; De Spiegeleer, Jan ; Fajardo, José ; Jönsson, Henrik ; Schoutens, Wim ; Valdivia, Arturo
Published in:	Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 42.2014, C, p. 339-351
Publisher:	Elsevier
Subject:	Contingent convertibles \| Credit risk \| Structural approach \| First passage times

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G18 - Government Policy and Regulation ; G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065581