Author

Liang Wang

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Preprint Aug 2026

When ratios fall: A dynamic approach to contingent convertibles

We propose a novel valuation framework for contingent convertible (CoCo) bonds based on the issuing bank's Common Equity Tier 1 (CET1) ratio, which is widely acknowledged as an indicator of a bank's solvency. Our approach develops a bivariate jump-diffusion model that captures the dynamic relationship linking the CET1...

Li Chen, Liang Wang, W. Xia · 1 citation