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Contingent capital with a dual price trigger

Citations

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Cited by:

  1. Lionel Melin & Ahyan Panjwani, 2024. "Optimal Design of Contingent Capital," Finance and Economics Discussion Series 2024-051, Board of Governors of the Federal Reserve System (U.S.).
  2. Goncharenko, Roman & Ongena, Steven & Rauf, Asad, 2021. "The agency of CoCos: Why contingent convertible bonds are not for everyone," Journal of Financial Intermediation, Elsevier, vol. 48(C).
  3. Douglas Davis & Edward Simpson Prescott, 2017. "Fixed Prices and Regulatory Discretion as Triggers for Contingent Capital Conversion: An Experimental Examination," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 33-71, June.
  4. Chaderina, Maria & Weiss, Patrick & Zechner, Josef, 2022. "The maturity premium," Journal of Financial Economics, Elsevier, vol. 144(2), pages 670-694.
  5. Diemer, Michael, 2017. "Bank levy and bank risk-taking," Review of Financial Economics, Elsevier, vol. 34(C), pages 10-32.
  6. Avino, Davide & Cotter, John, 2013. "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper 56782, University Library of Munich, Germany.
  7. Martynova, Natalya & Perotti, Enrico, 2018. "Convertible bonds and bank risk-taking," Journal of Financial Intermediation, Elsevier, vol. 35(PB), pages 61-80.
  8. Consiglio, Andrea & Zenios, Stavros A., 2015. "The Case for Contingent Convertible Debt for Sovereignst," Working Papers 15-13, University of Pennsylvania, Wharton School, Weiss Center.
  9. Caterina Mendicino & Kalin Nikolov & Javier Suarez, 2017. "Equity versus Bail-in Debt in Banking: An Agency Perspective," Working Papers wp2017_1712, CEMFI.
  10. Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing Sovereign Contingent Convertible Debt," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
  11. Wolff, Christian & Masror Khah, Sara Abed, 2015. "The Determinants of CoCo Bond Prices," CEPR Discussion Papers 10996, C.E.P.R. Discussion Papers.
  12. Michael Diemer, 2017. "Bank levy and bank risk‐taking," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 10-32, September.
  13. Jang, Hyun Jin & Na, Young Hoon & Zheng, Harry, 2018. "Contingent convertible bonds with the default risk premium," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 77-93.
  14. Hollander, Hylton, 2017. "Macroprudential policy with convertible debt," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 285-305.
  15. Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2016. "Caught between Scylla and Charybdis? Regulating Bank Leverage When There Is Rent Seeking and Risk Shifting," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 5(1), pages 36-75.
  16. Giovanni Calice & Carlo Sala & Daniele Tantari, 2020. "Contingent Convertible Bonds in Financial Networks," Papers 2009.00062, arXiv.org, revised Dec 2023.
  17. Fiordelisi, Franco & Pennacchi, George & Ricci, Ornella, 2020. "Are contingent convertibles going-concern capital?," Journal of Financial Intermediation, Elsevier, vol. 43(C).
  18. Gaëtan Le Quang, 2019. "Mind the Conversion Risk: a Theoretical Assessment of Contingent Convertible Bonds," Working Papers hal-04141886, HAL.
  19. Kenjiro Hori & Jorge Martin Cerón, 2017. "Contingent Convertible Bonds: Payoff Structures and Incentive Effects," Birkbeck Working Papers in Economics and Finance 1711, Birkbeck, Department of Economics, Mathematics & Statistics.
  20. Mendicino, Caterina & Nikolov, Kalin & Suarez, Javier, 2017. "Equity versus Bail-in Debt in Banking: An Agency Perspective," CEPR Discussion Papers 12104, C.E.P.R. Discussion Papers.
  21. Michael B. Imerman, 0. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-36.
  22. Consiglio Andrea & Zenios Stavros A., 2018. "Contingent Convertible Bonds for Sovereign Debt Risk Management," Journal of Globalization and Development, De Gruyter, vol. 9(1), pages 1-24, June.
  23. Conlon, Thomas & Cotter, John, 2014. "Anatomy of a bail-in," Journal of Financial Stability, Elsevier, vol. 15(C), pages 257-263.
  24. Stephanie Chan & Sweder van Wijnbergen, 2014. "Cocos, Contagion and Systemic Risk," Tinbergen Institute Discussion Papers 14-110/VI/DSF79, Tinbergen Institute, revised 29 Oct 2014.
  25. Avdjiev, Stefan & Bogdanova, Bilyana & Bolton, Patrick & Jiang, Wei & Kartasheva, Anastasia, 2020. "CoCo issuance and bank fragility," Journal of Financial Economics, Elsevier, vol. 138(3), pages 593-613.
  26. Braz Camargo & Kyungmin Kim & Benjamin Lester, 2016. "Information Spillovers, Gains from Trade, and Interventions in Frozen Markets," The Review of Financial Studies, Society for Financial Studies, vol. 29(5), pages 1291-1329.
  27. Delphine Boursicot & Geneviève Gauthier & Farhad Pourkalbassi, 2019. "Contingent Convertible Debt: The Impact on Equity Holders," Risks, MDPI, vol. 7(2), pages 1-35, April.
  28. Yang, Zhaojun & Zhao, Zhiming, 2015. "Valuation and analysis of contingent convertible securities with jump risk," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 124-135.
  29. Koziol, Christian & Roßmann, Philipp, 2022. "Contingent convertible bonds: Optimal call strategy and the impact of refinancing," Journal of Corporate Finance, Elsevier, vol. 77(C).
  30. Douglas Davis & Oleg Korenok & Edward Simpson Prescott, 2014. "An Experimental Analysis of Contingent Capital with Market‐Price Triggers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(5), pages 999-1033, August.
  31. Caporale, Guglielmo Maria & Kang, Woo-Young, 2021. "On the preferences of CoCo bond buyers and sellers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  32. Diego L. Puente M., 2016. "The Oxford Handbook of Banking , 2nd edn , by Allen N. Berger , Philip Molyneux and John O.S. Wilson ( Oxford University Press , Oxford , 2014 ), pp. 1104 ," The Economic Record, The Economic Society of Australia, vol. 92(299), pages 674-676, December.
  33. Francesca Erica Di Girolamo & Francesca Campolongo & Jan De Spiegeleer & Wim Schoutens, 2017. "Contingent conversion convertible bond: New avenue to raise bank capital," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-31, March.
  34. Chia-Chien Chang & Min-Teh Yu, 2018. "Bank Contingent Capital: Valuation and the Role of Market Discipline," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 49-80, August.
  35. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.
  36. Vermaelen, Theo & Wagner, Sara & Wolff, Christian C, 2021. "Which Factors Play a Role in Coco Issuance? Evidence from European Banks," CEPR Discussion Papers 15750, C.E.P.R. Discussion Papers.
  37. Himmelberg, Charles P. & Tsyplakov, Sergey, 2020. "Optimal terms of contingent capital, incentive effects, and capital structure dynamics," Journal of Corporate Finance, Elsevier, vol. 64(C).
  38. Michael Sigmund & Kevin Zimmermann, 2021. "Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis (Michael Sigmund, Kevin Zimmermann)," Working Papers 236, Oesterreichische Nationalbank (Austrian Central Bank).
  39. 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.
  40. Gupta, Aparna & Wang, Runzu & Lu, Yueliang, 2021. "Addressing systemic risk using contingent convertible debt – A network analysis," European Journal of Operational Research, Elsevier, vol. 290(1), pages 263-277.
  41. Gaëtan Le Quang, 2019. "Mind the Conversion Risk: a Theoretical Assessment of Contingent Convertible Bonds," EconomiX Working Papers 2019-5, University of Paris Nanterre, EconomiX.
  42. Allen N. Berger & Charles P. Himmelberg & Raluca A. Roman & Sergey Tsyplakov, 2022. "Bank bailouts, bail‐ins, or no regulatory intervention? A dynamic model and empirical tests of optimal regulation and implications for future crises," Financial Management, Financial Management Association International, vol. 51(4), pages 1031-1090, December.
  43. Kund, Arndt-Gerrit & Petras, Matthias, 2023. "Can CoCo-bonds mitigate systemic risk?," International Review of Financial Analysis, Elsevier, vol. 89(C).
  44. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
  45. Bernd Rudolph, 2013. "Contingent Convertibles (CoCo-Bonds) als Bail-in-Instrumente für Banken," Schmalenbach Journal of Business Research, Springer, vol. 65(67), pages 97-122, January.
  46. Javadi, Siamak & Li, Weiping & Nejadmalayeri, Ali, 2023. "Contingent capital conversion under dual asset and equity jump–diffusions," International Review of Financial Analysis, Elsevier, vol. 89(C).
  47. 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.
  48. Xiaolin Wang & Zhaojun Yang & Pingping Zeng, 2023. "Pricing contingent convertibles with idiosyncratic risk," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 660-693, September.
  49. Michael B. Imerman, 2020. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1371-1406, November.
  50. Das, Sanjiv R. & Kim, Seoyoung, 2015. "Credit spreads with dynamic debt," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 121-140.
  51. George Pennacchi & Alexei Tchistyi, 2018. "Contingent Convertibles with Stock Price Triggers: The Case of Perpetuities," 2018 Meeting Papers 331, Society for Economic Dynamics.
  52. 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.
  53. Hwang, Sunjoo, 2019. "Is Bail-in Debt Bail-inable?," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 41(4), pages 1-44.
  54. Attaoui, Sami & Poncet, Patrice, 2015. "Write-Down Bonds and Capital and Debt Structures," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 97-119.
  55. Martynova, Natalya & Perotti, Enrico, 2018. "Convertible bonds and bank risk-taking," Journal of Financial Intermediation, Elsevier, vol. 35(PB), pages 61-80.
  56. Goncharenko, Roman & Ongena, Steven & Rauf, Asad, 2017. "The agency of CoCo: Why do banks issue contingent convertible bonds?," CFS Working Paper Series 586, Center for Financial Studies (CFS).
  57. Liu, Liang-Chih & Dai, Tian-Shyr & Zhou, Lei, 2024. "On the design of bail-in-able bonds from the perspective of non-financial firms," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1136-1155.
  58. Mitchell, Chris, 2024. "On the cash-flow and control rights of contingent capital," Journal of Banking & Finance, Elsevier, vol. 166(C).
  59. Dandan Song & Zhaojun Yang, 2016. "Contingent Capital, Real Options, and Agency Costs," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 3-40, March.
  60. Luo, Pengfei & Yang, Zhaojun, 2017. "Real options and contingent convertibles with regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 122-135.
  61. Li Ping & Liu Jie, 2014. "Design and Pricing of Chinese Contingent Convertible Bonds," Journal of Systems Science and Information, De Gruyter, vol. 2(5), pages 428-436, October.
  62. Yanping Cai & Zhaojun Yang & Zhiming Zhao, 2019. "Contingent capital with repeated interconversion between debt‐ and equity‐like instruments," European Financial Management, European Financial Management Association, vol. 25(2), pages 358-379, March.
  63. Allen, Linda & Tang, Yi, 2016. "What’s the contingency? A proposal for bank contingent capital triggered by systemic risk," Journal of Financial Stability, Elsevier, vol. 26(C), pages 1-14.
  64. Fatouh, Mahmoud & McMunn, Ayowande, 2019. "Shareholder risk-taking incentives in the presence of contingent capital," Bank of England working papers 775, Bank of England.
  65. Massoud, Nadia & Ullah, Saif & Scholnick, Barry, 2016. "Does it help firms to secretly pay for stock promoters?," Journal of Financial Stability, Elsevier, vol. 26(C), pages 45-61.
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