第13回研究会

開催日：

2016年12月22日 (木)　17:30-18:45

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

Dr. Tsz-Kin Chung (IHS Markit)

タイトル：

Enhanced Equity-Credit Modeling for Contingent Convertibles

概要Abstract

Contingent convertibles are characterized by forced equity conversion under accounting trigger, which occurs when the capital ratio of the issuing bank falls below some contractual threshold. Also, under the point-of-non-viability trigger, the supervisory authority may enforce equity conversion when the nancial health of the bank deteriorates to the distressed level. In this paper, we propose an equity-credit modeling of the joint process of the stock price and capital ratio that integrates both the structural approach of accounting trigger and reduced form approach of point-of-non-viability trigger of equity conversion. We also construct effective Fortet algorithms and finite difference schemes for numerical pricing of CoCo bonds under various forms of equity conversion payoff. The pricing properties of the CoCo bonds under various contractual specifications and market conditions are examined.