Close form pricing formulas for Coupon Cancellable CoCos

José Manuel Corcuera, Jan De Spiegeleer, José Fajardo (), Henrik Jönsson, Wim Schoutens and Arturo Valdivia

Journal of Banking & Finance, 2014, vol. 42, issue C, 339-351

Abstract: 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.

Keywords: Contingent convertibles; Credit risk; Structural approach; First passage times (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 G18 G21 G32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:42:y:2014:i:c:p:339-351

DOI: 10.1016/j.jbankfin.2014.01.025

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