标题： 短期不确定性下的CoCos 显示英文标题

标题： CoCos under short-term uncertainty

摘要： 在本文中，我们通过考虑具有两个噪声的短期不确定性模型，分析了Jeanblanc和Valchev（2005）模型的扩展。 它是Duffie和Lando（2001）以及Jeanblanc和Valchev（2005）思想的结合：公司的股票报价在金融市场上可获得，这些可以被视为关于基本价值或公司资产的噪声信息，从其中低水平产生信用事件。 我们假设还有公司的报告和发布时间，在这些时间点上短期不确定性消失。 这个信用事件模型用于描述可转债中的转换和违约。 显示英文摘要

摘要： In this paper we analyze an extension of the Jeanblanc and Valchev (2005) model by considering a short-term uncertainty model with two noises. It is a combination of the ideas of Duffie and Lando (2001) and Jeanblanc and Valchev (2005): share quotations of the firm are available at the financial market, and these can be seen as noisy information about the fundamental value, or the firm's asset, from which a low level produces the credit event. We assume there are also reports of the firm, release times, where this short-term uncertainty disappears. This credit event model is used to describe conversion and default in a CoCo bond.