Pricing of CoCo Bonds with Unexpected Write-Down Risk


Contingent Convertibles (CoCo) are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. In this paper we analyse "unexpected Write-Down risk". It is a risk... [ view full abstract ]


  1. José Fajardo (FGV/EBAPE)
  2. José Manuel Corcuera (University of Barcelona)
  3. Wim Schoutens (University Katholic of louvain)

Topic Area

Credit Risk


TH-P-B1 » Credit Risk 2 (14:30 - Thursday, 19th July, Beckett 1)

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