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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP17062 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
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