CoCo-obligationer: - en teoretisk og empirisk analyse

Maria Therkildsen

Student thesis: Master thesis


The master thesis main focus is a theoretical and empirical analysis of CoCo bonds. The latest financial crisis resulted in an extensive use of taxpayer’s money in order to bail out financial institutions that were ‘too big to fail’. In order to prevent it from happening again, regulators are imposing higher restrictions on banks’ required capital in europe. A main change is the introduction of Contingent Convertible bond (CoCo bond), which is constructed in order to boost banks’ capital in times of financial distress. To value a financial firm’s capital structure and analyze the effect of CoCo bonds, I use the model from the article "CoCo, Bail-in, and Tail-risk". I use the model to see whether two swedish banks (SEB and Svenska Handelsbank) CoCo bonds whould have been converted in the latest financial crisis, if the banks had issued CoCo bonds.

EducationsMSc in Mathematics , (Graduate Programme) Final Thesis
Publication date2017
Number of pages85