|Date:||14 November 2019|
The main focus of my research is on Contingent Convertible bonds (CoCos). This is a hybrid instrument with both debt-like and equity-like features. It is Issued as debt with mandatory conversion to equity when equity levels drop below a given trigger level. CoCos are used by banks to satisfy capital requirements
Current research in the literature on CoCos is looking at
- How to price CoCos?
- Do CoCos give the right risk taking incentives to bankers?
- How to design the trigger mechanism?
In my research is focus on the design and pricing of CoCos:
- How should new derivatives be designed to avoid future financial crises?
- How can we price these derivatives?
- Do they benefit society and are they attractive for banks to issue?
- Are there Alternatives for CoCos to make the financial sector more stable?
For supervising Master Thesis students, I am interested in any topic in asset pricing or corporate finance. In particular, I am interested in the following topics/questions:
- Do investors account for the conversion risk of CoCos?
- Are banks with CoCos considered to have a lower default risk?
- Do CoCos mitigate risk taking incentives?