Header

UZH-Logo

Maintenance Infos

Pricing contingent convertibles: a general framework for application in practice


Buergi, Markus P H (2013). Pricing contingent convertibles: a general framework for application in practice. Financial Markets and Portfolio Management, 27(1):31-63.

Abstract

The first contingent convertibles (CoCo) were issued in 2009, but, to date, the academic community has not given much attention to practical issues of pricing them. Combining various aspects from existing theoretical and practical literature, this paper first presents a CoCo pricing framework that allows a flexible and comprehensible valuation of real-world equity or TIER-1 ratio-triggered CoCos. The model is based on the assumption that the issuer's total asset value follows a Brownian motion, that book values reflect fair economic values in the case of financial distress, and that there is a linear relationship between straight equity and TIER-1 ratios. The pricing methodology is then applied to the Credit Suisse Buffer Capital Note issued in February 2011

Abstract

The first contingent convertibles (CoCo) were issued in 2009, but, to date, the academic community has not given much attention to practical issues of pricing them. Combining various aspects from existing theoretical and practical literature, this paper first presents a CoCo pricing framework that allows a flexible and comprehensible valuation of real-world equity or TIER-1 ratio-triggered CoCos. The model is based on the assumption that the issuer's total asset value follows a Brownian motion, that book values reflect fair economic values in the case of financial distress, and that there is a linear relationship between straight equity and TIER-1 ratios. The pricing methodology is then applied to the Credit Suisse Buffer Capital Note issued in February 2011

Statistics

Citations

Dimensions.ai Metrics

Altmetrics

Downloads

23 downloads since deposited on 27 Nov 2018
13 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:National licences > 142-005
Dewey Decimal Classification:Unspecified
Scopus Subject Areas:Social Sciences & Humanities > Accounting
Social Sciences & Humanities > Finance
Language:English
Date:1 March 2013
Deposited On:27 Nov 2018 17:07
Last Modified:31 Jul 2020 02:32
Publisher:Springer
ISSN:1934-4554
OA Status:Green
Publisher DOI:https://doi.org/10.1007/s11408-012-0203-4
Related URLs:https://www.swissbib.ch/Search/Results?lookfor=nationallicencespringer101007s1140801202034 (Library Catalogue)

Download

Green Open Access

Download PDF  'Pricing contingent convertibles: a general framework for application in practice'.
Preview
Content: Published Version
Language: English
Filetype: PDF (Nationallizenz 142-005)
Size: 1MB
View at publisher