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Pricing Contingent Convertibles: A Derivatives Approach
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Pricing Contingent Convertibles: A Derivatives Approach (2012)Pricing Contingent Convertibles: A Deriva…Conic coconuts: the pricing of contingent capital notes using conic finance (2011)Conic coconuts: the pricing o…Contingent Convertible Bonds and Capital Structure Decisions (2010)Contingent Convertible Bonds …Contingent Capital: An In-Depth Discussion (2010)Contingent Capital: An In-Dep…A Structural Model of Contingent Bank Capital (2010)A Structural Model of Conting…A Structural Model of Contingent Bank Capital (2010)A Structural Model of Conting…Stabilizing Large Financial Institutions with Contingent Capital Certificates (2009)Stabilizing Large Financial I…Pricing of contingent convertibles under smile conform models (2013)Pricing of contingent convert…CONVERTIBLE BOND PRICING MODELS (2013)CONVERTIBLE BOND PRICING MODE…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Uncertainty and the effectiveness of policy (1967)Stock return variances (1986)No Pain, No Gain? Effecting Market Discipline via “Reverse Convertible Debentures” (2005)Mitigating the pro-cyclicality of Basel II (2010)A New Capital Regulation for Large Financial Institutions (2011)On the Design of Contingent Capital with a Market Trigger (2014)Determinants of corporate borrowing (1977)Why and How to Design a Contingent Convertible Debt Requirement (2011)Contingent Capital Instruments for Large Financial Institutions: A Review of the Literature (2014)Does contingent capital induce excessive risk-taking? (2014)Randomization and the American Put (1998)Lévy processes in finance pricing financial derivatives (2003)Contingent Capital with a Capital-Ratio Trigger (2012)New Measures for Performance Evaluation (2008)Market-Based Corrective Actions (2009)CoCos, Bail-In, and Tail Risk (2013)Close form pricing formulas for Coupon Cancellable CoCos (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dynamic Asset Pricing Theory. (1993)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Countercyclical Contingent Capital (2011)Contingent Capital, Tail Risk, and Debt-Induced Collapse (2017)Optimal terms of contingent capital, incentive effects, and capital structure dynamics (2020)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Bank Runs, Deposit Insurance, and Liquidity (1983)FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES (2013)Caught between Scylla and Charybdis? Regulating Bank Leverage When There is Rent-Seeking and Risk-Shifting (2010)Capital access bonds: contingent capital with an option to convert (2012)Rules versus Discretion in Bank Resolution (2020)
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References

  • 2009Stabilizing Large Financial Institutions with Contingent Capital Certificates204 cited
  • 2010A Structural Model of Contingent Bank Capital103 cited
  • 2010A Structural Model of Contingent Bank Capital92 cited
  • 2011Conic coconuts: the pricing of contingent capital notes using conic finance46 cited
  • 2010Contingent Capital: An In-Depth Discussion44 cited
  • 2010Contingent Convertible Bonds and Capital Structure Decisions40 cited

Cited by

  • 2013CONVERTIBLE BOND PRICING MODELS29 cited
  • 2013Pricing of contingent convertibles under smile conform models27 cited

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