ACCOUNTING NOISE AND THE PRICING OF CoCos

DOI10.1142/S0219024922500285MaRDI QIDQ5878690zbMATH OpenOpenAlexFDO

Authors M. Derksen, Peter Spreij, Sweder van Wijnbergen

Publication date 22 February 2023

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

Full work available at URL https://arxiv.org/abs/1804.06890

zbMATH Keywords

accounting noiseCoCo designCoCo triggerscontingent capital pricinginvestment incentivesrisk taking incentives

Mathematics Subject Classification ID

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

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• CoCos with extension risk. A structural approach

Cites work

• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• Market-triggered changes in capital structure: equilibrium price dynamics
• Term Structures of Credit Spreads with Incomplete Accounting Information

Cited in

(6)

• Real options and contingent convertibles with regime switching
• Does model complexity improve pricing accuracy? The case of Cocos
• CoCos under short-term uncertainty
• The impact of a new CoCo issuance on the price performance of outstanding CoCos
• On the propensity to issue contingent convertible (CoCo) bonds
• Extracting implied volatilities from bank bonds

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