This paper introduces, analyzes, and values a new form of contingent convertible (CoCo), a Call Option Enhanced Reverse Convertible (COERC). Issued as a bond, it converts to new shareholders' equity if a bank's market value of capital falls below a pre-specified trigger. The COERC avoids the...

This study aims to test empirically how contingent convertible (CoCo) bond prices are affected by the main theoretical determinants and design features. The theoretical framework used in this paper is the Equity Derivatives Model suggested by De Spiegeleer and Schoutens [2012]. We test for the...

This study aims to test empirically how contingent convertible (CoCo) bond prices are affected by the main theoretical determinants and design features. The theoretical framework used in this paper is the Equity Derivatives Model suggested by De Spiegeleer and Schoutens [2012]. We test for the...