Browsing by Subject "Regime switching"

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    • Working Paper  Open Access

      Pricing sovereign contingent convertible debt 

      Consiglio, Andrea; Tumminello, Michele; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-11)
      We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...