{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2018:LERMO23A2NCH5NCZNEJYVQI5MR","short_pith_number":"pith:LERMO23A","canonical_record":{"source":{"id":"1804.01475","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-04-04T15:42:35Z","cross_cats_sorted":[],"title_canon_sha256":"a4c4d625f99f250607c7e81720b17fe18d4dbdec6fb99e13b780b9106f7659c4","abstract_canon_sha256":"2fccccba65666adf4c38dae3e743c60b315113f8433ad021decdcdc8016034ca"},"schema_version":"1.0"},"canonical_sha256":"5922c76b60d3447eb45969138ac11d647836f1d4bb9a88aa2df1a791788f207d","source":{"kind":"arxiv","id":"1804.01475","version":1},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1804.01475","created_at":"2026-05-18T00:19:14Z"},{"alias_kind":"arxiv_version","alias_value":"1804.01475v1","created_at":"2026-05-18T00:19:14Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1804.01475","created_at":"2026-05-18T00:19:14Z"},{"alias_kind":"pith_short_12","alias_value":"LERMO23A2NCH","created_at":"2026-05-18T12:32:37Z"},{"alias_kind":"pith_short_16","alias_value":"LERMO23A2NCH5NCZ","created_at":"2026-05-18T12:32:37Z"},{"alias_kind":"pith_short_8","alias_value":"LERMO23A","created_at":"2026-05-18T12:32:37Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2018:LERMO23A2NCH5NCZNEJYVQI5MR","target":"record","payload":{"canonical_record":{"source":{"id":"1804.01475","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-04-04T15:42:35Z","cross_cats_sorted":[],"title_canon_sha256":"a4c4d625f99f250607c7e81720b17fe18d4dbdec6fb99e13b780b9106f7659c4","abstract_canon_sha256":"2fccccba65666adf4c38dae3e743c60b315113f8433ad021decdcdc8016034ca"},"schema_version":"1.0"},"canonical_sha256":"5922c76b60d3447eb45969138ac11d647836f1d4bb9a88aa2df1a791788f207d","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:19:14.917301Z","signature_b64":"ZVnb3rKzf0NNrq1g3ufz0tsIackBR4nK8+R+1bCvjpGmGM3bNKIcl1sXNLXpA+CCc2ginENj1ycpCxdYTe6jCA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"5922c76b60d3447eb45969138ac11d647836f1d4bb9a88aa2df1a791788f207d","last_reissued_at":"2026-05-18T00:19:14.916590Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:19:14.916590Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1804.01475","source_version":1,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:19:14Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"vKPVDdBfoR9cE0gdwjG9H0J8K8pd/Q58V4WJVpwpqW7Ht0BHhW7f11ZrcEPwIiZzG7SdlvbRdWuqejoc4Zo0Cg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-11T23:15:53.609005Z"},"content_sha256":"c86690b2ff3bba9a3e0e4920799c9726cbaf430e1f7f223f52fe696c660cff4d","schema_version":"1.0","event_id":"sha256:c86690b2ff3bba9a3e0e4920799c9726cbaf430e1f7f223f52fe696c660cff4d"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2018:LERMO23A2NCH5NCZNEJYVQI5MR","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Pricing sovereign contingent convertible debt","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Andrea Consiglio, Michele Tumminello, Stavros A. Zenios","submitted_at":"2018-04-04T15:42:35Z","abstract_excerpt":"We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses the pricing model in a Longstaff-Schwartz American option pricing framework to compute future state contingent S-CoCo prices for risk management. Dual trigger pricing is also discu"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1804.01475","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:19:14Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"lkrd87WoNeYr5hG9qQ1r5l+lElwyu8GTpUgorSJVermEFfEvXj/6rmn5tLXtxi3Dbc6wR1ZRCXP/vi9ky/A4CQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-11T23:15:53.609855Z"},"content_sha256":"0a22222b18a105c74ed473143e5f274625c853e39d26d2c7ce68bd8097bffcff","schema_version":"1.0","event_id":"sha256:0a22222b18a105c74ed473143e5f274625c853e39d26d2c7ce68bd8097bffcff"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/LERMO23A2NCH5NCZNEJYVQI5MR/bundle.json","state_url":"https://pith.science/pith/LERMO23A2NCH5NCZNEJYVQI5MR/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/LERMO23A2NCH5NCZNEJYVQI5MR/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-11T23:15:53Z","links":{"resolver":"https://pith.science/pith/LERMO23A2NCH5NCZNEJYVQI5MR","bundle":"https://pith.science/pith/LERMO23A2NCH5NCZNEJYVQI5MR/bundle.json","state":"https://pith.science/pith/LERMO23A2NCH5NCZNEJYVQI5MR/state.json","well_known_bundle":"https://pith.science/.well-known/pith/LERMO23A2NCH5NCZNEJYVQI5MR/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2018:LERMO23A2NCH5NCZNEJYVQI5MR","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"2fccccba65666adf4c38dae3e743c60b315113f8433ad021decdcdc8016034ca","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-04-04T15:42:35Z","title_canon_sha256":"a4c4d625f99f250607c7e81720b17fe18d4dbdec6fb99e13b780b9106f7659c4"},"schema_version":"1.0","source":{"id":"1804.01475","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1804.01475","created_at":"2026-05-18T00:19:14Z"},{"alias_kind":"arxiv_version","alias_value":"1804.01475v1","created_at":"2026-05-18T00:19:14Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1804.01475","created_at":"2026-05-18T00:19:14Z"},{"alias_kind":"pith_short_12","alias_value":"LERMO23A2NCH","created_at":"2026-05-18T12:32:37Z"},{"alias_kind":"pith_short_16","alias_value":"LERMO23A2NCH5NCZ","created_at":"2026-05-18T12:32:37Z"},{"alias_kind":"pith_short_8","alias_value":"LERMO23A","created_at":"2026-05-18T12:32:37Z"}],"graph_snapshots":[{"event_id":"sha256:0a22222b18a105c74ed473143e5f274625c853e39d26d2c7ce68bd8097bffcff","target":"graph","created_at":"2026-05-18T00:19:14Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses the pricing model in a Longstaff-Schwartz American option pricing framework to compute future state contingent S-CoCo prices for risk management. Dual trigger pricing is also discu","authors_text":"Andrea Consiglio, Michele Tumminello, Stavros A. Zenios","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-04-04T15:42:35Z","title":"Pricing sovereign contingent convertible debt"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1804.01475","kind":"arxiv","version":1},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:c86690b2ff3bba9a3e0e4920799c9726cbaf430e1f7f223f52fe696c660cff4d","target":"record","created_at":"2026-05-18T00:19:14Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"2fccccba65666adf4c38dae3e743c60b315113f8433ad021decdcdc8016034ca","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-04-04T15:42:35Z","title_canon_sha256":"a4c4d625f99f250607c7e81720b17fe18d4dbdec6fb99e13b780b9106f7659c4"},"schema_version":"1.0","source":{"id":"1804.01475","kind":"arxiv","version":1}},"canonical_sha256":"5922c76b60d3447eb45969138ac11d647836f1d4bb9a88aa2df1a791788f207d","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"5922c76b60d3447eb45969138ac11d647836f1d4bb9a88aa2df1a791788f207d","first_computed_at":"2026-05-18T00:19:14.916590Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:19:14.916590Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"ZVnb3rKzf0NNrq1g3ufz0tsIackBR4nK8+R+1bCvjpGmGM3bNKIcl1sXNLXpA+CCc2ginENj1ycpCxdYTe6jCA==","signature_status":"signed_v1","signed_at":"2026-05-18T00:19:14.917301Z","signed_message":"canonical_sha256_bytes"},"source_id":"1804.01475","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:c86690b2ff3bba9a3e0e4920799c9726cbaf430e1f7f223f52fe696c660cff4d","sha256:0a22222b18a105c74ed473143e5f274625c853e39d26d2c7ce68bd8097bffcff"],"state_sha256":"291553103cb952de0d7b5f8480caedd9159f734495bbc174a90d48269165db16"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"AmWIPxFNkQ7Gc/FcNh8Fh/qkxHjKACprFiQ5R1IP1sDMWeg2OEY08HGQ0jom/8x4GGuQ79NBeFbnrbyY1O9kDA==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-11T23:15:53.613246Z","bundle_sha256":"27be28ce8a1fa3a30ce6d94a90cb57f37bae847f98b2ce43e7e515831c2147b8"}}