@article{(Open Science Index):https://publications.waset.org/pdf/7141,
	  title     = {Bail-in Capital: The New Box},
	  author    = {Manu Krishnan and  Phil Jacoby},
	  country	= {},
	  institution	= {},
	  abstract     = {In this paper, we discuss the paradigm shift in bank
capital from the “gone concern" to the “going concern" mindset. We
then propose a methodology for pricing a product of this shift called
Contingent Capital Notes (“CoCos"). The Merton Model can
determine a price for credit risk by using the firm-s equity value as a
call option on those assets. Our pricing methodology for CoCos also
uses the credit spread implied by the Merton Model in a subsequent
derivative form created by John Hull et al . Here, a market implied
asset volatility is calculated by using observed market CDS spreads.
This implied asset volatility is then used to estimate the probability of
triggering a predetermined “contingency event" given the distanceto-
trigger (DTT). The paper then investigates the effect of varying
DTTs and recovery assumptions on the CoCo yield. We conclude
with an investment rationale.},
	    journal   = {International Journal of Economics and Management Engineering},
	  volume    = {6},
	  number    = {1},
	  year      = {2012},
	  pages     = {88 - 92},
	  ee        = {https://publications.waset.org/pdf/7141},
	  url   	= {https://publications.waset.org/vol/61},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 61, 2012},
	}