The impact of CoCo bonds on systemic risk considering liquidity risk
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Publication:5068097
DOI10.1080/14697688.2021.1909113zbMath1484.91482OpenAlexW3199869132MaRDI QIDQ5068097
Hui Meng, Yanhong Guo, Ping Li
Publication date: 5 April 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1909113
Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (1)
Cites Work
- Network models and financial stability
- RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
- FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
- Systemic Risk in Financial Systems
- An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
- Contagion in financial networks
- Chinese write-down bonds and bank capital structure
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