On the propensity to issue contingent convertible (CoCo) bonds

DOI10.1080/14697688.2019.1685124MaRDI QIDQ4991052zbMATH OpenOpenAlexWikidataFDO

Authors José Fajardo, Layla Mendes

Publication date 2 June 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1685124

zbMATH Keywords

bail-incontingent convertible bondsfinancial distress

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• The impact of a new CoCo issuance on the price performance of outstanding CoCos
• The impact of CoCo bonds on systemic risk considering liquidity risk
• Enhanced equity-credit modelling for contingent convertibles
• Contingent Convertible Obligations and Financial Stability
• ACCOUNTING NOISE AND THE PRICING OF CoCos

Cites work

• Microeconometrics using Stata

Cited in

(5)

• The impact of a new CoCo issuance on the price performance of outstanding CoCos
• The impact of CoCo bonds on systemic risk considering liquidity risk
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• ANALYTIC PRICING OF CoCo BONDS
• Optimal Capital Structure and Risk Management Policies of Banks That Use CoCo Futures to Hedge Financial-Sector Risk

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