This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...

The UBS- Credit Suisse (CS) merger in March 2023, one of the biggest banking unions in history, was an emergency rescue deal engineered by Swiss authorities to avoid more market-shaking turmoil in global banking. The merger resulted in a significant increase in the combined stakeholder net...

Following the 2008-9 financial crisis, large banks increasingly issued contingent convertible bonds (CoCo bonds) to increase their capital buffers – a policy supported by national bank regulators. This paper examines whether the issuance of CoCo bonds provides the same reduction in bank...

The main strategic objective of bank-affiliated venture capital funds (BVCs) is to enhance demand of debt capital from portfolio companies. This paper investigates the channels through which banks pursue such a strategy. Using detailed data from seven Western European countries in the period...

We look at the problem of pricing CoCo bonds where the underlying risky asset dynamics are given by a smile conform model, more precisely an exponential Lévy process incorporating jumps and heavy tails. A core mathematical quantity that is needed in closed form in order to produce an exact...

Basel III has been agreed to strengthen banks' capital. Raising additional capital in common equity is costly. Banks wonder whether capital can be raised less expensively. To this end, Contingent Convertible (CoCo) bonds have been designed to absorb banks' losses in times of crisis. This paper...

Basel III has been agreed to strengthen banks' capital. Raising additional capital in common equity is costly. Banks wonder whether capital can be raised less expensively. To this end, Contingent Convertible (CoCo) bonds have been designed to absorb banks' losses in times of crisis. This paper...

This article focuses on some of the operational aspects of winding down a bank’s trading book portfolio and discusses the hidden exit costs that can sometimes exist. The article provides a deep dive on valuation principles and exit strategies currently considered by industry practitioners when...

We present a model of cash constrained entrepreneurs who need an investor to finance their project. Investors can either be uninformed, such as individual bondholders, or informed, such as venture capitalists and banks. There is an entrepreneurial moral hazard problem, which can be partially...