Blar i NTNU Open på forfatter "Bysveen, Fredrik Toft"
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Pricing Contingent Convertible Capital: An Empirical Approach
Veiteberg, Vegard Gullaksen; Bysveen, Fredrik Toft; Rosef, Bård Haugland (Master thesis, 2012)This thesis develops a novel empirical approach to price contingent convertible bonds (CoCos) with a Core Tier 1 (CT1) ratio trigger. Existing models on CoCo pricing all develop a process linking a proxy of the trigger ...