| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089032 | Journal of Banking & Finance | 2014 | 13 Pages |
Abstract
In this paper we introduce and analyse Coupon Cancellable CoCos (“CoCa CoCos”), a new type of CoCo where coupons can be cancelled during the lifetime of the note. We provide closed-form pricing formulas for CoCa CoCos, we study the impact of coupon cancellations in the price of the bond and we show that death-spiral effect is reduced.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
José Manuel Corcuera, Jan De Spiegeleer, José Fajardo, Henrik Jönsson, Wim Schoutens, Arturo Valdivia,