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Dividend-protected convertible bonds and the disappearance of call delay

Grundy, Bruce D.; Verwijmeren, Patrick - 2012

Persistent link: https://www.econbiz.de/10009722624

Multiple buffer CoCos and their impact on financial stability

Neamtu, Ioana - 2020

In this paper we develop a theoretical model to investigate the effect on a bank's financial stability of having multiple contingent convertible bonds buffers (CoCos) on the same bank balance sheet, using cash-in-the-market pricing and global games methodologies. Contingent convertible bonds are...

Persistent link: https://www.econbiz.de/10012161027

Risk-taking, competition and uncertaint : do contingent convertible (CoCo) bonds increase the risk appetite of banks?

Fatouh, Mahmoud; Neamtu, Ioana; Wijnbergen, Sweder van - 2022

conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk …

Persistent link: https://www.econbiz.de/10012887890

Coco design, risk shifting and financial fragility

Chan, Stephanie; Wijnbergen, Sweder van - 2016 - This version: January 28, 2016

We highlight the ex ante risk-shifting incentives faced by a bank's shareholders/managers when CoCos (contingent convertible capital) are part of the capital structure. The risk shifting incentive arises from the wealth transfers that the shareholders will receive upon the CoCo's conversion...

Persistent link: https://www.econbiz.de/10011441586

Accounting noise and the pricing of cocos

Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018

Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all...

Persistent link: https://www.econbiz.de/10011818282

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Persistent link: https://www.econbiz.de/10001884326

Cocos, contagion and systemic risk

Chan, Stephanie; Wijnbergen, Sweder van - 2014

CoCo's (contingent convertible capital) are designed to convert from debt to equity when banks need it most. Using a Diamond-Dybvig model cast in a global games framework, we show that while the CoCo conversion of the issuing bank may bring the bank back into compliance with capital...

Persistent link: https://www.econbiz.de/10010395088

Contingent convertibles : can the market handle them?

Kiewiet, Gera; Lelyveld, Iman van; Wijnbergen, Sweder van - 2017

The recent financial crisis has led to the introduction of contingent convertible instruments (CoCos) in the capital framework for banks. Although CoCos can provide benefits, such as automatic recapitalization of troubled banks, their inherent risks raise questions about whether they increase...

Persistent link: https://www.econbiz.de/10011735242

Capital structure arbitrage revisited

Wojtowicz, Marcin - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

Persistent link: https://www.econbiz.de/10010415520

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...

Persistent link: https://www.econbiz.de/10011334345