Valuation of contingent convertible catastrophe bonds — The case for equity conversion
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.07.006
Abstract: Within the context of the banking-related literature on contingent convertible bonds, we comprehensively formalise the design and features of a relatively new type of insurance-linked security, called a contingent convertible catastrophe bond (CocoCat). We begin… read more here.
Keywords: convertible catastrophe; valuation; contingent convertible; catastrophe ... See more keywords
The agency of CoCos: Why contingent convertible bonds are not for everyone
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial Intermediation"
DOI: 10.1016/j.jfi.2020.100882
Abstract: Abstract Some regulators grant contingent convertible bonds (CoCos) the status of “going-concern” capital. Theory, however, suggests that CoCos can induce debt overhang, thereby amplifying the leverage ratchet effect. In this paper, we provide empirical evidence… read more here.
Keywords: bonds everyone; cocos contingent; agency cocos; contingent convertible ... See more keywords