CoCos with Extension Risk. A Structural Approach

José Manuel Corcuera (), José Fajardo (), Wim Schoutens () and Arturo Valdivia ()
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José Manuel Corcuera: University of Barcelona
José Fajardo: EBAPE, Getulio Vargas Foundation
Wim Schoutens: Catholic University of Leuven
Arturo Valdivia: University of Barcelona

A chapter in The Fascination of Probability, Statistics and their Applications, 2016, pp 447-464 from Springer

Abstract: Abstract In this paper we obtain some formulas for pricing contingent convertibles subject to what we call extension risk, i.e., the possibility that the bond issuer does not buy back the bond at pre-specified call dates. We follow a structural approach and we address the finite and infinite maturity cases.

Keywords: Contingent capital; Coco bond; Extension risk; Callable bond (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-25826-3_21

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DOI: 10.1007/978-3-319-25826-3_21

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