Evaluating Contingent Convertible Securities

Abstract

This dissertation provides an in-depth analysis of the design, application and limitations of contingent convertible securities. This paper builds on and advances the existing literature, by showing that a contingent convertible’s value at its core is subject to the contingent convertible’s underlying asset volatility. In addition it addresses how contingent convertibles reduce moral hazard and how some designs may be ill suited to fit a contingent convertible’s (CoCo) purpose.