Original paper
Pricing Sovereign Contingent Convertible Debt
Abstract
We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching which is prevalent during crises. Regime switching is modeled as a hidden Markov process and is integrated with a stochastic process of spread levels to obtain S-CoCo prices through simulation. The paper goes a step further...
Paper Details
Title
Pricing Sovereign Contingent Convertible Debt
Published Date
Jan 1, 2016
Journal
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Notes
History