Contingent Convertible Bonds and An Analysis About Their Pricing

Date

2024-1

Author

GOKCAN, OZGE

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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This study aims to study contingent convertibles, exploring their elements, trigger mechanisms, and the complex relation between financial variables that influence their valuation. By examining various pricing methodologies as well as empirical studies and conducting a quantitative study using recent market data, this research seeks to con- tribute to a deeper understanding of the pricing dynamics about Contingent Convertible bonds. This study also contributes to the ongoing discussions regarding CoCos by exam- ining how their pricing dynamics influence their role as regulatory capital for banks and as instruments for bail-in policies.

Subject Keywords

CoCos, Contingent Convertible Bonds, Additional Tier 1, Bail-in

URI

https://hdl.handle.net/11511/108929

Collections

Graduate School of Applied Mathematics, Term Project