How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach

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• 作者：Piotr Jaworski^a ; ^{P.Jaworski@mimuw.edu.pl} ; Kamil Liberadzki^b ; ^{kliber@sgh.waw.pl} ; Marcin Liberadzki^b ; ^{mliber@sgh.waw.pl}
• 关键词：G010 ; G210 ; G280
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：Complete
• 页码：162-168
• 全文大小：545 K
• 卷排序：60

文摘

The new contingent convertibles bonds (CoCos) are to make banks more resilient. CoCos convert into bank’s common equity when bank approaches default. We used the VaR and Expected Shortfall concept for bank default risk modelling. We made a proof on what condition do CoCos improve issuer’s solvency. The paper provides a guide for policy makers on how to reduce banks’ default risk.