Convertible bonds and bank risk-taking
نویسندگان
چکیده
منابع مشابه
Convertible bonds and bank risk-taking
We study how contingent capital that converts in equity ahead of default affects bank risk-shifting. Going concern conversion restores equity value in highly levered states, thus reducing heightened risk incentives. In contrast, conversion at default for traditional bail-inable debt has no effect on endogenous risk. The main beneficial effect comes from reduced leverage at conversion. In contra...
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A convertible bond is a security that the holder can convert into a specified number of underlying shares. We enrich the standard model by introducing some default risk of the issuer. Once default has occured payments stop immediately. In the context of a reduced form model with infinite time horizon driven by a Brownian motion, analytical formulae for the no-arbitrage price of this American co...
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A firm issues a convertible bond. At each subsequent time, the bondholder must decide whether to continue to hold the bond, thereby collecting coupons, or to convert it to stock. The firm may at any time call the bond. Because calls and conversions often occur far from maturity, it is not unreasonable to model this situation with a perpetual convertible bond, i.e., a convertible coupon-paying b...
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ژورنال
عنوان ژورنال: Journal of Financial Intermediation
سال: 2018
ISSN: 1042-9573
DOI: 10.1016/j.jfi.2018.01.002