G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8028
DP8028 Contingent Capital: The Case for COERCs
Christian Wolff; George G. Pennacch
发表日期2010-09-23
出版年2010
语种英语
摘要In this paper we propose a new security, the Call Option Enhanced Reverse Convertible (COERC). The security is a form of contingent capital, i.e. a bond that converts into equity when the market value of equity relative to debt falls below a certain trigger. The conversion price is set significantly below the trigger price and, at the same time, equity holders have the option to buy back the shares from the bondholders at the conversion price. Compared to other forms of contingent capital proposed in the literature, the COERC is less risky in a world where bank assets can experience sudden jumps. Moreover, the structure eliminates concerns about putting the company in a ?death spiral? as a result of manipulation or panic. A bank that issues COERCs also has a smaller incentive to choose investments that are subject to large losses.
主题Financial Economics
关键词Banks Financial crisis Financial stability Security design
URLhttps://cepr.org/publications/dp8028
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/536865
推荐引用方式
GB/T 7714
Christian Wolff,George G. Pennacch. DP8028 Contingent Capital: The Case for COERCs. 2010.
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