The aim of the present research is to provide a new CoCo bond pricing method to assist analyses of both equity …

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … cheapest-to-deliver bonds) versus those that are not, while controlling for firm fundamentals and bond illiquidity. This … CDS buyers and sellers manipulating bond prices to achieve favorable CDS auction outcomes, rather than a spillover of …

"virtual" borrower or bond for which a single-factor model holds. Then, the correlation parameter is calculated via a non …-linear optimization. This "bond representation" allows to approximate the risk profile (expressed by the EL profile) using a single … for the corresponding bond representations is applied for valuation of the CDO tranches. Using a sample CDO portfolio …