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Contingent Convertible Bonds Pricing

  • Kamil Liberadzki
  • Marcin Liberadzki

Abstract

CoCo pricing models correspond generally with the taxonomy of the defaultable bond pricing models (see section 15.1). With respect to the division between structural (Penacchi, 2011) and intensity approaches (market implied models), the latter category includes credit derivatives and equity derivatives models (De Spiegeleer and Schoutens, 2012).

Keywords

Stock Price Share Price Credit Spread Bond Price Trigger Level 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Kamil Liberadzki and Marcin Liberadzki 2016

Authors and Affiliations

  • Kamil Liberadzki
    • 1
  • Marcin Liberadzki
    • 1
  1. 1.Warsaw School of EconomicsPoland

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