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• W2107767584 abstract "This paper presents a structural credit risk model of a bank that issues short-term de- posits, shareholders'equity, and …xed- or ‡oating-coupon contingent capital bonds. The return on the bank's assets follows a jump-diusion process, and default-free interest rates are stochastic. The prices of the bank's deposits, contingent capital, and shareholders'equity are studied for dierent levels of bank risk and dierent contract terms for its contingent capital. Allowing for the possibility of sudden, large declines in a bank's asset value, as might occur during a …nancial crisis, has distinctive implications for valuing contingent capi- tal. Credit spreads on contingent capital are higher the lower is the equity capital conversion threshold and the larger is the conversion write down from the bond's par value. Credit spreads also rise when conversion awards contingent capital investors a …xed, rather than variable, number of new equity shares. Requiring a decline in a …nancial stock price index for conversion (dual price trigger) makes contingent capital more similar to non-convertible sub- ordinated debt. The paper also examines a bank's risk-shifting incentives and the problem of overhangwhen it issues dierent forms of contingent capital and non-convertible subordinated debt. Issuing contingent capital can create a moral hazard incentive to raise the bank's asset risks, but this incentive is often less than when the bank issues subordinated debt. Similarly, the debt overhang problem can be reduced with contingent capital relative to subordinated debt. In general, moral hazard and debt overhang problems are least when contractual terms minimize contingent capital's default risk, making the risk of the bank's shareholders'equity similar to that under unlimited liability." @default.
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• W2107767584 date "2010-04-23" @default.
• W2107767584 modified "2023-10-03" @default.
• W2107767584 title "A Structural Model of Contingent Bank Capital" @default.
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• W2107767584 doi "https://doi.org/10.26509/wp-201004" @default.
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