Meng, Di; Metzler, Adam; Reesor, R. Mark - In: Risks : open access journal 12 (2024) 3, pp. 1-35
We implemented a methodology to calibrate capital structure models for banks that have issued contingent convertible securities (CoCos). Typical studies involving capital structure model calibration focus on non-financial firms as they have lower leverage and no contingent convertible...