This study is the first to assess selected pricing models for contingent convertible (CoCo) bonds empirically. Substantial amounts of these instruments have recently been issued by a number of banks. The authors’ analysis shows that although all tested approaches—a structural model, an equity derivatives model, and a credit derivatives model—largely fit market prices, they exhibit biases in derived hedge ratios. The equity derivatives model is the most practical for the pricing and risk management of CoCo bonds.