• 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 ...