Message-ID: <20090729083459.13617qej5mqpvhxv@login-3.hoststar.ch>
Date: 2009-07-29T06:34:59Z
From: Roger Bergande
Subject: Tier 1 Subordinated Bond
In-Reply-To: <d718c8210907252018p28388ff8lbe578d381dcfe0c6@mail.gmail.com>
Dear all
I?m facing the problem of valuing a tier 1 Bond. The Bond has an
embedded option which allows no coupon payment if the issuer doesn?t
pay dividends.
Does anybody have an idea how I could model this type of Bond? Please
let me know if you have a model or a replicating method.
Many thanks in advance and best regards,
Roger