Pricing Contingent Convertible Bonds - An Empirical Approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Leland, Hayne E, 1994.
"Corporate Debt Value, Bond Covenants, and Optimal Capital Structure,"
Journal of Finance, American Finance Association, vol. 49(4), pages 1213-1252, September.
- Hayne E. Leland., 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Research Program in Finance Working Papers RPF-233, University of California at Berkeley.
- Pennacchi, George & Vermaelen, Theo & Wolff, Christian C. P., 2014.
"Contingent Capital: The Case of COERCs,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 541-574, June.
- Christian Wolff & Theo Vermaelen & George Pennacchi, 2010. "Contingent Capital: The Case for COERCs," LSF Research Working Paper Series 10-08, Luxembourg School of Finance, University of Luxembourg.
- Wolff, Christian & Pennacch, George G., 2010. "Contingent Capital: The Case for COERCs," CEPR Discussion Papers 8028, C.E.P.R. Discussion Papers.
- Alon Raviv, 2004. "Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes," Finance 0408003, University Library of Munich, Germany.
- Stefan Avdjiev & Anastasia Kartasheva & Bilyana Bogdanova, 2013. "CoCos: a primer," BIS Quarterly Review, Bank for International Settlements, September.
- Paul Glasserman & Behzad Nouri, 2012. "Contingent Capital with a Capital-Ratio Trigger," Management Science, INFORMS, vol. 58(10), pages 1816-1833, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Michael Sigmund & Kevin Zimmermann, 2021. "Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis (Michael Sigmund, Kevin Zimmermann)," Working Papers 236, Oesterreichische Nationalbank (Austrian Central Bank).
- Caporale, Guglielmo Maria & Kang, Woo-Young, 2021.
"On the preferences of CoCo bond buyers and sellers,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- Guglielmo Maria Caporale & Woo-Young Kang, 2019. "On the preferences of CoCo bond buyers and sellers," CESifo Working Paper Series 7551, CESifo.
- Hilscher, Jens & Raviv, Alon, 2014.
"Bank stability and market discipline: The effect of contingent capital on risk taking and default probability,"
Journal of Corporate Finance, Elsevier, vol. 29(C), pages 542-560.
- Jens Hilscher & Alon Raviv, 2012. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Working Papers 53, Brandeis University, Department of Economics and International Business School, revised Jan 2014.
- Lionel Melin & Ahyan Panjwani, 2024. "Optimal Design of Contingent Capital," Finance and Economics Discussion Series 2024-051, Board of Governors of the Federal Reserve System (U.S.).
- Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2013. "CoCos, Bail-In, and Tail Risk," Working Papers 13-01, Office of Financial Research, US Department of the Treasury.
- Weidong Tian, 2018. "Callable Contingent Capital: Valuation and Default Risk," Management Science, INFORMS, vol. 64(1), pages 112-130, January.
- Tan, Yingxian & Yang, Zhaojun, 2016. "Contingent capital, capital structure and investment," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 56-73.
- Olivier Courtois & Xiaoshan Su, 2020. "Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 477-520, December.
- Pierluigi Bologna & Arianna Miglietta & Anatoli Segura, 2020.
"Contagion in the CoCos Market? A Case Study of Two Stress Events,"
International Journal of Central Banking, International Journal of Central Banking, vol. 16(6), pages 137-184, December.
- Pierluigi Bologna & Arianna Miglietta & Anatoli Segura, 2018. "Contagion in the CoCos market? A case study of two stress events," Temi di discussione (Economic working papers) 1201, Bank of Italy, Economic Research and International Relations Area.
- Berg, Tobias & Kaserer, Christoph, 2015.
"Does contingent capital induce excessive risk-taking?,"
Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 356-385.
- Berg, Tobias & Kaserer, Christoph, 2015. "Does contingent capital induce excessive risk-taking?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 488, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Michael B. Imerman, 2020. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1371-1406, November.
- Wolff, Christian & Masror Khah, Sara Abed, 2015. "The Determinants of CoCo Bond Prices," CEPR Discussion Papers 10996, C.E.P.R. Discussion Papers.
- Michael B. Imerman, 0. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-36.
- Goncharenko, Roman & Ongena, Steven & Rauf, Asad, 2021.
"The agency of CoCos: Why contingent convertible bonds are not for everyone,"
Journal of Financial Intermediation, Elsevier, vol. 48(C).
- Ongena, Steven & Goncharenko, Roman & Rauf, Asad, 2018. "The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone," CEPR Discussion Papers 13344, C.E.P.R. Discussion Papers.
- Roman Goncharenko & Steven Ongena & Asad Rauf, 2019. "The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone," Swiss Finance Institute Research Paper Series 19-43, Swiss Finance Institute.
- Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.
- Paul Glasserman & Behzad Nouri, 2012. "Contingent Capital with a Capital-Ratio Trigger," Management Science, INFORMS, vol. 58(10), pages 1816-1833, October.
- Das, Sanjiv R. & Kim, Seoyoung, 2015. "Credit spreads with dynamic debt," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 121-140.
- Luo, Pengfei & Yang, Zhaojun, 2017. "Real options and contingent convertibles with regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 122-135.
- Kenjiro Hori & Jorge Martin Cerón, 2017. "Contingent Convertible Bonds: Payoff Structures and Incentive Effects," Birkbeck Working Papers in Economics and Finance 1711, Birkbeck, Department of Economics, Mathematics & Statistics.
- Tan, Yingxian & Yang, Zhaojun, 2017. "Growth option, contingent capital and agency conflicts," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 354-369.
More about this item
Keywords
contingent convertible bonds; CoCo; trigger event; loss absorption mechanism;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prp:micp17:251-261. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alen Jezovnik (email available below). General contact details of provider: http://www.hippocampus.si .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.