A recent proposal to enhance banking stability recommends the use of contingent convertibles
(CoCos). Since these hybrid securities are mandatorily converted into equity when banks …

This paper analyzes the funding advantage of green bonds and the determinants of what is
referred to as the “greenium” (the “green” premium). To this end, we first separate the …

In this paper, we apply Markowitz's approach of portfolio selection to government bond
portfolios. As a main feature of our analysis, we use term structure models to estimate expected …

Assessing the risk of bank failures is the paramount concern of bank regulation. This paper
argues that in order to assess the default risk of a bank, it is important to consider its financing …

Standard discounted cash flow approaches suffer from a rudimental modeling of the
possibility of a default, as the main characteristics such as the default probability and potential …

We present an easily applicable option-theoretical approach to quantifying liquidity spreads
of bonds. Following Longstaff (1995), we describe the value of liquidity as that of exotic …

Agency conflicts and asymmetric information are two possible explanations that may rationalize
the use of a step-up provision in the bond indenture. Within a continuous-time framework …

In this paper, we analyze if banks financed with contingent convertible bonds (CoCos) can
rely on the classical (CoCo value minimizing) call strategy. Due to further debt positions …

In this paper, we characterize optimal conversion strategies and the related values of
convertible bonds and stocks under a sequential conversion policy. Contrary to the existing …

In this paper, we analyse the optimal exercise strategies for corporate warrants issued by
levered firms. For the analysis, we distinguish between two exercise variants, namely the …