CoCo-obligationer

Abstract

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 outfinancial 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 changeis the introduction of Contingent Convertible bond (CoCo bond), which is constructed in orderto 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 themodel from the article "CoCo, Bail-in, and Tail-risk". I use the model to see whether two swedishbanks (SEB and Svenska Handelsbank) CoCo bonds whould have been converted in the latestfinancial crisis, if the banks had issued CoCo bonds.