Contingent Convertible "CoCo" Bonds in Bank Risk Management Empirical Pricing Comparison
This work compares the performance of three pricing approaches on the CoCos issued on 21st of April 2014 by the China Merchants Bank (ISIN: CND100007RX8) through model fitting analysis with CoCo market prices. The bond specifications have been drawn from Moody’s CoCo Monitor Database. With an observ...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2016
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| Online Access: | https://eprints.nottingham.ac.uk/37134/ |