CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
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Cited by:
- Jos'e Manuel Corcuera & Arturo Valdivia, 2016. "CoCos under short-term uncertainty," Papers 1602.00094, arXiv.org.
- Vermaelen, Theo & Wagner, Sara & Wolff, Christian C, 2021. "Which Factors Play a Role in Coco Issuance? Evidence from European Banks," CEPR Discussion Papers 15750, C.E.P.R. Discussion Papers.
- Wolff, Christian & Masror Khah, Sara Abed, 2015. "The Determinants of CoCo Bond Prices," CEPR Discussion Papers 10996, C.E.P.R. Discussion Papers.
- Tobias Niedrig & Helmut Gründl, 2015.
"The Effects of Contingent Convertible (CoCo) Bonds on Insurers’ Capital Requirements Under Solvency II,"
The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 40(3), pages 416-443, July.
- Niedrig, Tobias & Gründl, Helmut, 2015. "The effects of contingent convertible (CoCo) bonds on insurers' capital requirements under Solvency II," ICIR Working Paper Series 18/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Niedrig, Tobias & Gründl, Helmut, 2015. "The effects of Contingent Convertible (CoCo) bonds on insurers' capital requirements under solvency II," SAFE Working Paper Series 98, Leibniz Institute for Financial Research SAFE.
- Gründl, Helmut & Niedrig, Tobias, 2015. "The effects of Contingent Convertible (CoCo) bonds on insurers' capital requirements under Solvency II," SAFE Policy Letters 45, Leibniz Institute for Financial Research SAFE.
- Damiano Brigo & João Garcia & Nicola Pede, 2015. "Coco Bonds Pricing With Credit And Equity Calibrated First-Passage Firm Value Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
- Masayuki Kazato & Tetsuya Yamada, 2018. "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series 18-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
- 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.
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This paper has been announced in the following NEP Reports:- NEP-BAN-2013-03-02 (Banking)
- NEP-FMK-2013-03-02 (Financial Markets)
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