论文标题
或应兑换义务和财务稳定
Contingent Convertible Obligations and Financial Stability
论文作者
论文摘要
本文调查了如果金融机构通过交换或有转换（可可）债务义务共享风险，是否可以使金融体系更加稳定。这个问题是在债务和权益联系的金融网络模型中构成的，并增加了可可的变体，该变体在银行的股本股权-DEBT比率下降到触发水平时会连续转换。主要的理论结果是在义务成熟时对银行间债务和公平性的清算问题的完整表征。然后，我们引入风格化的网络进行研究，以在引入偶然可转换债券时可以提高财务稳定性，以及特定的网络，偶然可转换债券无法均匀改善系统性能。要回到主要问题，我们在2011年EBA压力测试时检查欧盟金融网络，以进行比较静态，以研究可可债债务对金融稳定性的影响。发现，通过用标准化的可可银行债务证券替换所有不安全的银行间债务，欧盟的系统风险将减少，银行股东价值将增加。
This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The question is framed in a financial network model of debt and equity interlinkages with the addition of a variant of the CoCo that converts continuously when a bank's equity-debt ratio drops to a trigger level. The main theoretical result is a complete characterization of the clearing problem for the interbank debt and equity at the maturity of the obligations. We then introduce stylized networks to study when introducing contingent convertible bonds improves financial stability, as well as specific networks for which contingent convertible bonds do not provide uniformly improved system performance. To return to the main question, we examine the EU financial network at the time of the 2011 EBA stress test to do comparative statics to study the implications of CoCo debt on financial stability. It is found that by replacing all unsecured interbank debt by standardized CoCo interbank debt securities, systemic risk in the EU will decrease and bank shareholder value will increase.
