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- W2102836108 abstract "This paper proposes a form of contingent capital for financial institutions that converts from debt to equity if two conditions are met: the firm's stock price is at or below a trigger value and the value of a financial institutions index is also at or below a trigger value. This structure protects financial firms during a crisis, when all are performing badly, but during normal times permits a bank performing badly to go bankrupt. I discuss a number of issues associated with the design of a contingent capital claim, including susceptibility to manipulation and whether conversion should be for a fixed dollar amount of shares or a fixed number of shares; the susceptibility of different contingent capital schemes to different kinds of errors (under and over-capitalization); and the losses likely to be incurred by shareholders upon the imposition of a requirement for contingent capital. I also present some illustrative pricing examples." @default.
- W2102836108 created "2016-06-24" @default.
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- W2102836108 date "2010-01-01" @default.
- W2102836108 modified "2023-10-02" @default.
- W2102836108 title "Contingent Capital with a Dual Price Trigger" @default.
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- W2102836108 doi "https://doi.org/10.2139/ssrn.1553430" @default.
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