G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17062
DP17062 Risk-Taking, Competition and Uncertainty: Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?
Sweder van Wijnbergen; Mahmoud Fatou
发表日期2022-02-23
出版年2022
语种英语
摘要We assess the impact of contingent convertible (CoCo) bonds and the wealth transfers they imply conditional on conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks by issuing CoCo bonds try to maintain risk-taking incentives when regulators reduce them through higher capitalization ratios? While we test for and reject sample selection bias, we show that CoCo bonds issuance has a strong positive effect on risk-taking behaviour, and so do conversion parameters that reduce dilution of existing shareholders upon conversion. Higher volatility amplifies the impact of CoCo bonds on risk-taking.
主题Financial Economics
关键词Contingent convertible bonds Risk-taking Bank capital structure Selection bias
URLhttps://cepr.org/publications/dp17062
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/546024
推荐引用方式
GB/T 7714
Sweder van Wijnbergen,Mahmoud Fatou. DP17062 Risk-Taking, Competition and Uncertainty: Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?. 2022.
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