In this study, we analyze whether model complexity improves accuracy of CoCo pricing models. We compare the out-of-sample pricing ability of four models using a broad dataset that contains all CoCos which were issued between January 1, 2013 and May 31, 2016 in euros. The regarded models include the standard model from De Spiegeleer and Schoutens (J Deriv 20:27–36, 2012), a modified version enriched by credit risk, an extended model that accounts for the effective lifetime of the CoCo, and a trading model, solely based on historic market prices but no pricing theory at all. For a normal market environment, the simple trading model provides a higher pricing accuracy than the theory-based models. Under distress, however, a theory-based model with a sufficiently high complexity is required.

在本研究中，我们分析模型复杂性是否提高了 CoCo 定价模型的准确性。我们使用包含 2013 年 1 月 1 日至 2016 年 5 月 31 日期间以欧元发行的所有 CoCo 的广泛数据集比较了四个模型的样本外定价能力。所关注的模型包括 De Spiegeleer 和 Schoutens 的标准模型（J Deriv 20:27–36, 2012）、信用风险丰富的修改版本、考虑 CoCo 有效寿命的扩展模型以及交易模型，完全基于历史市场价格，但根本没有定价理论。对于正常的市场环境，简单的交易模型比基于理论的模型提供了更高的定价准确性。然而，在遇到困难时，需要一个具有足够高复杂性的基于理论的模型。