Contingent Convertible "CoCo" Bonds in Bank Risk Management Empirical Pricing Comparison

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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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Bibliographic Details
Main Author:	Kowlessur, Dhanishta
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2016
Online Access:	https://eprints.nottingham.ac.uk/37134/

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