The financial crisis since 2007 has highlighted the fragility of the banking system． CoCo bonds have been a hot topic as both a solution to the“too big to fail”problem and a measure by which financial institutions can raise the capital adequacy ratio and save themselves during crises． In this paper，CoCo bonds with extension risk are analyzed． Stock price and Core Tier 1 Ｒatio are simultaneously simulated and copula functions are introduced to measure the correlation between stock price and Core Tier 1 Ｒatio． CIＲ model is used to describe the term structure of interest rates，and Monte-Carlo simulation method is employed to price callable CoCo bonds． Further，callable CoCo bonds issued by Barclays bank are applied to test the performance of our model． Finally，the paper designs the Chinese version of CoCo bonds，and gives the numerical calculation and scenario analysis．