کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
999175 936787 2013 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Contingent capital with a dual price trigger
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
Contingent capital with a dual price trigger
چکیده انگلیسی

This paper evaluates a form of contingent capital for financial institutions that converts from debt to equity if two conditions are met: the firm's stock price is at or below a trigger value and the value of a financial institutions index is also at or below a trigger value. This structure potentially protects financial firms during a crisis, when all are performing badly, but during normal times permits a bank performing badly to go bankrupt. I discuss a number of issues associated with the design of a contingent capital claim, including susceptibility to manipulation, whether conversion should be for a fixed dollar amount of shares or a fixed number of shares; uniqueness of the share price when contingent capital is outstanding; the susceptibility of different contingent capital schemes to different kinds of errors (under and over-capitalization); and the losses likely to be incurred by shareholders upon the imposition of a requirement for contingent capital. I also present an illustrative pricing example.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 9, Issue 2, June 2013, Pages 230–241
نویسندگان
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