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Centre of expertise CIBIF

Faculty of Economics and Business
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Daniel Vullings

Date:14 November 2019
Daniel Vullings
Daniel Vullings

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?