# CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models

Source: [CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models](<https://www.sota2.com/research/paper/68fa7c7f1e209131cea8e487>)

Collection index: [llms.txt](<https://www.sota2.com/research/llms.txt>)

Data updated: 2025-10-26T06:03:08.167Z

Authors: Damiano Brigo, Jo\\~ao Garcia, Nicola Pede

Published: 2013-02-27T00:06:21.000Z

## Abstract

After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the authorities deem the institution to be under-capitalized. This paper discusses this Contingent Capital (or Coco) bond instrument and presents a pricing methodology based on firm value models. The model is calibrated to readily available market data. A stress test of model parameters is illustrated to account for potential model risk. Finally, a brief overview of how the instrument performs is presented.

## Recorded benchmark results

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## Original sources and implementation

[Original paper](<https://arxiv.org/abs/1302.6629>)

[PDF](<https://arxiv.org/pdf/1302.6629.pdf>)