Contingent Capital (papers)

  • Berg, T. and Kaserer, C. (2010) Does Contingent Capital Induce Excessive Risk-Taking and Prevent an Efficient Recapitalization of Banks?
  • Campolongo, F., De Spiegeleer, J., Di Girolamo, F. and Schoutens W. (2012) Contingent Conversion Convertible Bond: New avenue to raise bank capital. Working paper.
  • Corcuera, J. M., De Spiegeleer, J., Ferreiro-Castilla, A., Kyprianou, A.E, Madan, D., Schoutens, W. (2012), Pricing of Contingent Convertibles under Smile Conform Models. Working paper. (2012)
  • Corcuera, J. M., De Spiegeleer, J., Ferreiro-Castilla, A., Kyprianou, A.E, Madan, D., Schoutens, W. (2012), Pricing of Contingent Convertibles under Smile Conform Models. To appear Journal of Credit Risk.
  • Corcuera, J.M, De Spiegeleer, J., Fajardo, J., Jönsson, H., Schoutens W. and Valdivia, A. (2013) Close form pricing formulas for CoCa CoCos, working paper.
  • De Spiegeleer, J., Forys, M., Schoutens, W. (2012). Contingent Convertibles. In: Encyclopedia of Debt Finance Euromoney Books.
  • De Spiegeleer, J., Van Hulle, C., Schoutens, W. (2011). Cracking the coco pricing conundrum, July issue, 20-21 pp: CreditFlux.
  • De Spiegeleer, J. and Schoutens, W. (2012) Pricing Contingent Convertibles: A Derivatives Approach. Journal of Derivatives. Vol. 20, No. 2: pp. 27-36.
  • De Spiegeleer, J., Schoutens, W. (2012). Steering a bank around a death spiral: Multiple Trigger CoCos. Wilmott Magazine, 2012 (59), 62-69.
  • De Spiegeleer, J., Schoutens, W. (2013) Multiple Trigger CoCos: Contingent debt without death-spiral risk. Financial Markets, Institution and Instruments Journal 22,2.
  • De Spiegeleer, J., Forys, M., Schoutens, W. (2012). Contingent Convertibles. In: Encyclopedia of Debt Finance Euromoney Books.
  • De Spiegeleer, J.,, Dhaene, J. and Schoutens, W. (2013). Swiss Re's $750m solvency trigger coco is much riskier than it seems. Credit Flux. Technical Analysis, April 2013.
  • Glasserman, P. and Nouri, B. (2010) Contingent Capital with a Capital-Ratio Trigger (http://ssrn.com/abstract=1669686)
  • Madan, D.B. and Schoutens, W. (2011) Conic coconuts: the pricing of contingent capital notes using conic finance , Mathematics and Financial Economics, Volume 4, Issue 2, pp 87-106.
  • Maes, S. and Schoutens, W. (2012) Contingent Capital: An In-Depth Discussion, Economic Notes, vol. 41, no. 1/22, pp. 59–79
  • Raviv, A. (2010) Bank Stability and Market Discipline: Debt-for- Equity Swap versus Subordinated Notes
  • Pennacchi, G. (2010) A Structural Model of Contingent Bank Capital
  • Wilkens, Sacha. and Bethke, Sacha (2012) Contingent Convertible ('CoCo') Bonds : A First Empirical Assessment of Selected Pricing Models
  • Teneberg, Hendrik. (2012) Pricing Contingent Convertibles using an Equity Derivatives Jump Diffusion Approach
  • De Spiegeleer, Jan and Schoutens, Wim, CoCo Bonds with Extension Risk (February 3, 2014). Available at SSRN: http://ssrn.com/abstract=2390344