국내 코코본드 평가방법에 관한 연구

CoCo bonds issued in Korea are different from the CoCo bonds issued in overseas, regarding product characteristics such as the trigger event, and there are not many transactions in the secondary market. Accordingly, it is difficult to directly apply the pricing methods that have been studied in overseas to the pricing of CoCo bonds issued in Korea. Therefore, this study propose a pricing method applying the numerical analysis technique and using the statement of financial position based on a structural model while considering the Korean primary market and secondary market characteristics. Then, we evaluate the proposed pricing method by applying it to the issued CoCo bonds. We compared it with evaluated prices of the straight bonds and callable bonds with same conditions(maturity and coupon). As a result, the value of the callable bonds are evaluated as the same conditions (maturity and coupon) subtracting the callable option value from the value of the straight bond. And the value of CoCo bonds are evaluated as the same conditions subtracting the trigger event occurrence value from the value of the callable bond. A negative correlation was found in the relationship between the interest rate and the callable option value, but no negative correlation was found between the capital adequacy ratio and the trigger event occurrence value. This is because the capital adequacy ratio is reported discretely and quarterly and the capital adequacy ratio of the bank is much higher than the interest payment limit condition. This study will provide the basis for the study on CoCo bond pricing which is issued in Korea. Based on this study, further studies will be conducted.