논문 국내 국내전문학술지(KCI급) 자본비율의 확률과정을 통한 조건부자본증권 가격결정론
- 학술지 구분 국내전문학술지(KCI급)
- 게재년월 2017-02
- 저자명 김태구공동(교신),표수진
- 학술지명 대한산업공학회지
- 발행처명 대한산업공학회
- 발행국가 국내
- 논문언어 외국어
- 전체저자수 2
홈페이지논문 초록 (Abstract)
Contingent convertible (Coco) bonds have been issued in 2009 after financial crisis for improvement of capital structure in international banks. With more focuses on coco bonds in financial market, academic fields have paid attention to the instrument for optimal structure for issuers and rational pricing methodologies. However, there is a crucial discrepancy in prevailing pricing model and their target subjects. Though most of the coco bonds have been issued based on accounting triggers, many of existing models are based on market prices and thereforeexhibit limitations in practical use. In this paper, a more practical pricing method for accounting triggered coco bonds is proposed using stochastic equity ratio process. Empirical results tested on coco bond issued by JB financial group supported the proposed approach with favorable performance in tracking actual market prices.