In this paper we analyze the determinants of CoCo bond issuance. The results suggest that banks who issue CoCos are typically large. Moreover, in the case of BRICS and other emerging economies suggest that banks are also highly leveraged, aiming to meet the Basel III rules and replace debt with...

We introduce skewed Lévy models, that have a symmetric jump measure multiplied by dumping exponential factor, in order to study the implied volatility smirk in Lévy markets. The dumping factor depends on a parameter beta, this results in a measure of the skewness of the model. We show that...

In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Lévy processes, which includes the CGMY model, generalized hyperbolic model and Mexiner model, frequently used in the...

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)...

In this paper we show that additional enforcement mechanisms in economies with collateral requirements are effective, in the sense that agents can not anticipate payments exceeding the value of collateral requirement. To achieve this goal we show that the suitable arbitrage notion to be used, in...

In this paper we obtain some formulas for pricing contingent convertibles subject to what we call extension risk, i.e., the possibility that bond issuer does not buy back the bond at pre specified call dates and then new coupons rate are established until bond maturity. We follow a structural...

In 1988 Dybvig introduced the payoff distribution pricing model (PDPM) as an alternative to the capital asset pricing model (CAPM). Under this new paradigm agents preferences depend on the probability distribution of the payoff and for the same distribution agents prefer the payoff that requires...

In this paper we study the daily return behavior of Bitcoin digital currency. We propose the use of generalized hyperbolic distributions (GH) to model Bitcoin's return. Our results show that GH is a very good candidate to model this return