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Bank Financing with Structured Products – How to make Contingent Convertibles work

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  • Crummenerl, Marc
  • Koziol, Christian

Abstract

Nach der Finanzkrise im Jahr 2008 wurden Contingent Convertible Bonds (CoCos) als Wundermittel gegen Bankenkrisen gepriesen. Jedoch wurden bislang nur wenige CoCos emittiert. In diesem Beitrag untersuchen wir verschiedene Begründungen warum Banken mit der Emission von CoCos bislang eher zögerlich waren. Zudem untersuchen wir in einem zeitstetigen Modell wie sich die Ausgestaltung der Produktmerkmale auf die Risikoanreize und die Kreditvergabe der emittierenden Bank auswirkt. Um Risikoerhöhungen und eine Kreditklemme zu vermeiden sollten CoCos so gestaltet werden, dass ein Vermögenstransfer von den Aktionären zu den Fremdkapitalgebern bei Wandlung der CoCos entsteht. Dies kann durch die Wahl eines hohen Wandlungsverhältnisses und einer hohen Wandlungsschwelle erreicht werden. Insofern sollten Regulatoren, die wie in der Schweiz die Banken zu der Emission von CoCos verpflichten wollen, auch die entsprechende Ausgestaltung der Kontrakte im Blick behalten. de

Suggested Citation

  • Crummenerl, Marc & Koziol, Christian, 2014. "Bank Financing with Structured Products – How to make Contingent Convertibles work," Die Unternehmung - Swiss Journal of Business Research and Practice, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 68(2), pages 108-128.
    • Handle: RePEc:nms:untern:10.5771/0042-059x-2014-2-108
    DOI: 10.5771/0042-059X-2014-2-108
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    References listed on IDEAS

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    Cited by:

    1. Ming, Lei & Yang, Shenggang & Song, Dandan, 2018. "Valuation and analysis of performance sensitive debt with contingent convertibility," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 98-108.
    2. Koziol, Christian & Roßmann, Philipp, 2022. "Contingent convertible bonds: Optimal call strategy and the impact of refinancing," Journal of Corporate Finance, Elsevier, vol. 77(C).
    3. Roman Goncharenko, 2022. "Fighting Fire with Gasoline: CoCos in Lieu of Equity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 493-517, March.

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