主权或有可转换债券的定价
Pricing sovereign contingent convertible debt
摘要：
我们建立了一个主权或有可转换债券（S-CoCo）的定价模型，该债券由主权信用违约互换（CDS）价差触发支付暂停。我们将危机期间普遍存在的CDS价差状态转换建模为隐马尔可夫过程，并结合固定状态下价差水平的均值回复随机过程，通过仿真获得S-CoCo价格。本文利用Longstaff-Schwartz美式期权定价框架中的定价模型，计算了未来状态相依S-CoCo价格，并进行了风险管理。双触发定价也讨论了使用的特殊CDS利差的主权债务与广泛的市场指数。数值结果报告使用S-CoCo设计为希腊，意大利和德国的定价和或有定价模型。
英文摘要：
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses the pricing model in a Longstaff-Schwartz American option pricing framework to compute future state contingent S-CoCo prices for risk management. Dual trigger pricing is also discussed using the idiosyncratic CDS spread for the sovereign debt together with a broad market index. Numerical results are reported using S-CoCo designs for Greece, Italy and Germany with both the pricing and contingent pricing models.
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