dc.contributor.author | Consiglio, Andrea | en |
dc.contributor.author | Tumminello, Michele | en |
dc.contributor.author | Zenios, Stavros A. | en |
dc.creator | Consiglio, Andrea | en |
dc.creator | Tumminello, Michele | en |
dc.creator | Zenios, Stavros A. | en |
dc.date.accessioned | 2019-04-18T10:42:14Z | |
dc.date.available | 2019-04-18T10:42:14Z | |
dc.date.issued | 2017-11 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/46105 | en |
dc.description.abstract | 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 which is prevalent during crises. Regime switching is modeled as a hidden Markov process and is integrated with a stochastic process of spread levels to obtain S-CoCo prices through simulation. The paper goes a step further and uses the pricing model in a Longstaff-Schwartz. American option pricing framework to compute state contingent S-CoCo prices at some risk horizon, thus facilitating risk management. Dual trigger pricing is also discussed using the idiosyncratic CDS spread for the sovereign debt together with a broad market index. Extensive numerical results are reported using S-CoCo designs for Greece, Italy and Germany with both the pricing and contingent pricing models. | en |
dc.format.extent | 32 | |
dc.language.iso | eng | en |
dc.publisher | The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA. | en |
dc.relation | info:eu-repo/grantAgreement/EC/H2020/655092/DebtRisks | |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Greece | * |
dc.rights | info:eu-repo/semantics/openAccess | en |
dc.rights | Open Access | en |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/gr/ | * |
dc.source.uri | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2813427 | |
dc.subject | Contingent bonds | en |
dc.subject | Sovereign debt | en |
dc.subject | Debt restructuring | en |
dc.subject | State-contingent pricing | en |
dc.subject | Regime switching | en |
dc.subject | Credit default swaps | en |
dc.title | Pricing sovereign contingent convertible debt | en |
dc.type | info:eu-repo/semantics/workingPaper | |
dc.identifier.doi | 10.2139/ssrn.2813427 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance | |
dc.type.uhtype | Working Paper | en |
dc.source.other | SSRN | en |
dc.contributor.orcid | Zenios, Stavros A. [0000-0001-7576-4898] | |
dc.contributor.orcid | Consiglio, Andrea [0000-0003-1654-9172] | |
dc.gnosis.orcid | 0000-0001-7576-4898 | |
dc.gnosis.orcid | 0000-0003-1654-9172 | |