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When ratios fall: A dynamic approach to contingent convertibles
Key Insights
- We propose a novel valuation framework for contingent convertible (CoCo) bonds based on the issuing bank's Common Equity Tier 1 (CET1) ratio, which is widely acknowledged as an indicator of a bank's s.
Cite this synthesis
DOI: 10.48550/arXiv.2608.16842 ↗
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@misc{ acaciacompliance-research-when-ratios-fall-a-dynamic-approach-to-contingent-convertibl,
title = { When ratios fall: A dynamic approach to contingent convertibles },
author = { Leszek },
year = { 2026 },
doi = { 10.48550/arXiv.2608.16842 },
url = { http://arxiv.org/abs/2608.16842v1 },
note = {Summarized and classified by AcaciaFund}
}
TY - GEN TI - When ratios fall: A dynamic approach to contingent convertibles AU - Leszek PY - 2026 DO - 10.48550/arXiv.2608.16842 UR - http://arxiv.org/abs/2608.16842v1 ER -
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Overview
We propose a novel valuation framework for contingent convertible (CoCo) bonds based on the issuing bank's Common Equity Tier 1 (CET1) ratio, which is widely acknowledged as an indicator of a bank's s
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