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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | The Pricing of Contingent Convertible Bonds |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 57 |
| Date | 2020 |
| Abstract Text | Abstract: The thesis at hand reviews the credit derivatives model, a valuation framework for contingent convertible bonds (CoCos), while paying special attention to the developments of the contingent capital market over the last ten years. The pricing model combines various aspects from existing literature to calculate an additional yield above the risk-free interest rate as a compensation for the risks associated with these instruments. In an empirical analysis, the accuracy of the model is tested by conducting a time series on two traded CoCo bonds. The results show that the model is not fully capable to reflect observed market prices. |
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