| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11099 |
| DP11099 CoCo Design, Risk Shifting and Financial Fragility | |
| Sweder van Wijnbergen | |
| 发表日期 | 2016-02-07 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Contingent convertible capital (CoCo) is a debt instrument that converts to equity or is written off if the issuing bank fails to meet a distress threshold. The conversion increases the issuer's loss-absorption capacity, but results in wealth transfers between CoCo holders and shareholders, which may change risk-shifting incentives to shareholders. Higher risk increases the probability of CoCo conversion, while lowering the wealth transfer. We show that for Principal-Write-Down (PWD) CoCos, the net effect is to always increase risk-shifting incentives, while for equity-converting CoCos, it depends on the extent of dilution after conversion. We integrate the analysis in a game-theoretic optimal capital regulation framework and show that use of PWD or insufficiently dilutive CE CoCos requires higher capital requirements for given asset structure to offset the rising risk-shifting incentives these instruments give rise to. |
| 主题 | Financial Economics |
| 关键词 | Capital requirements Contingent convertible capital Risk shifting incentives Systemic risk |
| URL | https://cepr.org/publications/dp11099 |
| 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/539927 |
| 推荐引用方式 GB/T 7714 | Sweder van Wijnbergen. DP11099 CoCo Design, Risk Shifting and Financial Fragility. 2016. |
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