Blar i Institutt for internasjonal forretningsdrift på forfatter "Stiberg, Kim Andre Ha"
-
Estimating Contingent Convertible credit spreads in the Norwegian Bond Market using an option pricing approach
De Lange, Petter Eilif; Stiberg, Kim Andre Ha; Aamo, Per Egil (Peer reviewed; Journal article, 2019)In this paper we model credit spreads on contingent convertible bonds (CoCos) in the Norwegian financial bond market, using a Merton-style option model approach. We examine whether the Merton risk default model provides a ...