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Pricing contingent convertible bonds: a methodological exploration of credit, derivative, and option frameworks
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This thesis examines three methods for pricing Contingent Convertible bonds: the Equity
Derivative, Credit Derivative, and Option-Based models. The results show that the Option Based model works best for stable markets, providing the lowest pricing errors for bonds with
straightforward risk profiles. In contrast, the Equity and Credit Derivative models perform
better in volatile markets, capturing the impact of share price changes and credit risk more
accurately. These findings offer practical guidance for choosing the right pricing model, under
different market conditions.
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CoCo bonds Derivative approach Credit approach Vanilla bond