[R-SIG-Finance] Tier 1 Subordinated Bond

Roger Bergande roger at bergande.ch
Wed Jul 29 08:34:59 CEST 2009


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



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