This paper provides an in-depth analysis into the structuring and the pricing of an innovative financial market product. This instrument is called contingent conversion convertible bond or "CoCoCo". This hybrid bond is itself a combination of two other hybrid instruments: a contingent...

The rating of asset backed securities is partly based on a quantitative model for the defaults and prepayments of the assets in the pool. This quantitative approach contains a number of assumptions and estimations of input variables whose values are affected by uncertainty. The uncertainty in...