At the inception and throughout the current financial crisis a rather unexpectedly large number of financial institutions had to be bailed out by states. A vast spectrum of preventive measures and remedies has been considered to prevent the reoccurrence of such situations. One of them is the issuance by banks of so-called CoCos, a form of contingent convertible bond whose conversion into equity (or even write-down) is triggered under predetermined circumstances. Such conversion features of a CoCo increases the resilience of the capital structure of the issuer since the bank’s balance sheet is better able to absorb unforeseen large losses through a recapitalization resulting from the conversion of the CoCo being triggered. CoCos have received much interest from regulators, academics and practitioners. As innovative complex hybrid instruments, CoCos present some significant pricing challenges and recent academic literature has proposed various pricing models. Reliable performance of empirically validated pricing models are critical for investors, regulators and issuers, notably to avoid mis-pricing in the primary as well as the secondary markets, and to support asset allocation as well as risk management processes. However, to date it appears as if some CoCos have been mispriced and such occurrences can negatively impact the credibility and detract from the attractiveness of the instrument. This project aims to empirically test and benchmark the various pricing models that have been proposed to date and develop a new GARCH-class pricing model with the aim of out-performing the existing models.