COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS

DOI10.1142/S0219024915500156zbMath1337.91090MaRDI QIDQ5256831

Damiano Brigo, Nicola Pede, J. B. Garcia

Publication date: 29 June 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

systemic riskBasel IIIdefault timecontingent capitalCoCo bondsconversion timeAT1P modelcredit default swap calibrationfirm value modelshybrid credit-equity products

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (10)

Enhanced equity-credit modelling for contingent convertibles ⋮ A structural framework for modelling contingent capital ⋮ Extracting implied volatilities from bank bonds ⋮ NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD ⋮ ANALYTIC PRICING OF CoCo BONDS ⋮ Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES ⋮ Does model complexity improve pricing accuracy? The case of Cocos ⋮ Valuation and analysis of zero-coupon contingent capital bonds ⋮ ACCOUNTING NOISE AND THE PRICING OF CoCos

Cites Work

• The Pricing of Options and Corporate Liabilities
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• Counterparty Credit Risk, Collateral and Funding
• Credit risk: Modelling, valuation and hedging

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