Excerpt
Contents
List of Figures
I Introduction
II The mechanism of CoCo-Bond
2.1 Backgrounds and functionality
2.2 Definition of the Trigger Event
2.2.1 The Market Trigger
2.2.2 The Accounting Trigger
2.2.3 The Regulatory Trigger
2.2.4 The Multi-Variante Trigger
2.3 The Specification of a Conversion
2.3.1 The conversion fraction ( )
2.3.2 The conversion ratio Cr and the conversion price Cp
2.4 The Specifications of already issued CoCo-Bonds
III The Pricing of CoCo-Bonds
3.1. Introduction
3.2. The Credit Derivatives Approach
3.2.1 The Loss
3.2.2 The Trigger Intensity Trigger
3.3. The Equity Derivative Approach
3.3.1 The Pricing of a Zero Coupon CoCo-Bond
3.3.2 The Pricing of a CoCo-Bond with Coupons
3.4 Calculation Examples on the Basis of already issued CoCo-Bonds
3.4.1 Example for the Credit Derivatives Approach (Case Study Credit Suisse)
3.4.2 Example for the Equity Derivatives Approach (Case Study Lloyds)
IV Conclusion
Appendix
References
- Quote paper
- Melanie Prossliner (Author), 2011, The Pricing of already issued Contingent Convertible Bonds (CoCo-Bonds), Munich, GRIN Verlag, https://www.grin.com/document/207354
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