英文标题：
《Pricing sovereign contingent convertible debt》
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作者：
Andrea Consiglio, Michele Tumminello, Stavros A. Zenios
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最新提交年份：
2018
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英文摘要：
  We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign\'s Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses the pricing model in a Longstaff-Schwartz American option pricing framework to compute future state contingent S-CoCo prices for risk management. Dual trigger pricing is also discussed using the idiosyncratic CDS spread for the sovereign debt together with a broad market index. Numerical results are reported using S-CoCo designs for Greece, Italy and Germany with both the pricing and contingent pricing models.
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中文摘要：
我们为主权或有可转换债券（S-CoCo）建立了一个定价模型，该债券的支付暂停由主权信用违约掉期（CDS）利差触发。我们将危机期间普遍存在的CDS利差制度转换建模为一个隐马尔可夫过程，再加上固定制度下利差水平的均值回复随机过程，以便通过模拟获得S-CoCo价格。本文使用Longstaff-Schwartz美式期权定价框架中的定价模型计算未来状态或有S-CoCo价格，以进行风险管理。此外，还利用主权债务的特殊CDS利差以及广泛的市场指数讨论了双重触发定价。使用S-CoCo设计对希腊、意大利和德国的定价模型和或有定价模型报告了数值结果。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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