Πλοήγηση ανά Θέμα "Credit default swaps"
Αποτελέσματα 1-1 από 1
-
Working Paper Open Access
Pricing sovereign contingent convertible debt
(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 ...