Contingent Convertible Obligations and Financial Stability

DOI10.1137/22M1498954MaRDI QIDQ5886362zbMATH OpenOpenAlexFDO

Authors Zachary Feinstein, T. R. Hurd

Publication date 31 March 2023

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.01037

zbMATH Keywords

banking regulationinterbank networksnetwork valuationstress testingsystemic risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Addressing systemic risk using contingent convertible debt -- a network analysis
• The impact of CoCo bonds on systemic risk considering liquidity risk
• Enhanced equity-credit modelling for contingent convertibles
• Impact of contingent payments on systemic risk in financial networks
• ANALYTIC PRICING OF CoCo BONDS

Cites work

• Addressing systemic risk using contingent convertible debt -- a network analysis
• An optimization view of financial systemic risk modeling: network effect and market liquidity effect
• scientific article; zbMATH DE number 6866322 (Why is no real title available?)
• Impact of contingent payments on systemic risk in financial networks
• Interbank clearing in financial networks with multiple maturities
• Obligations with physical delivery in a multilayered financial network
• Pricing of debt and equity in a financial network with comonotonic endowments
• Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
• Systemic risk in financial systems
• The impact of CoCo bonds on systemic risk considering liquidity risk
• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• The risk management of contingent convertible (CoCo) bonds
• VALUING CORPORATE DEBT : THE EFFECT OF CROSS-HOLDINGS OF STOCK AND DEBT

Cited in

(9)

• Addressing systemic risk using contingent convertible debt -- a network analysis
• Adverse Selection and Convertible Bonds
• Convertibles in Sequential Financing*
• On the propensity to issue contingent convertible (CoCo) bonds
• Contingent Capital with Stock Price Triggers in Interbank Networks
• Optimal Capital Structure and Risk Management Policies of Banks That Use CoCo Futures to Hedge Financial-Sector Risk
• Brief synopsis of the scientific career of T. R. Hurd
• Pricing CoCos with equity conversion covenant in a distressed market environment
• Corporate full-scale hedging and pricing of high-risk growth investment option

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