The impact of CoCo bonds on systemic risk considering liquidity risk
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Recommendations
- On the propensity to issue contingent convertible (CoCo) bonds
- The risk management of contingent convertible (CoCo) bonds
- The impact of systemic and illiquidity risk on financing with risky collateral
- Liquidity risk theory and coherent measures of risk
- Liquidity Risk with Coherent Risk Measures
- Addressing systemic risk using contingent convertible debt -- a network analysis
- ANALYTIC PRICING OF CoCo BONDS
- Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
- The impact of a new CoCo issuance on the price performance of outstanding CoCos
Cites work
- An optimization view of financial systemic risk modeling: network effect and market liquidity effect
- Chinese write-down bonds and bank capital structure
- Contagion in financial networks
- Fire sales forensics: measuring endogenous risk
- Network models and financial stability
- Systemic risk in financial systems
Cited in
(7)- The impact of systemic and illiquidity risk on financing with risky collateral
- Addressing systemic risk using contingent convertible debt -- a network analysis
- On the propensity to issue contingent convertible (CoCo) bonds
- Can creditor bail-in trigger contagion? The experience of an emerging market
- Contingent Convertible Obligations and Financial Stability
- The effect of liquidity creation on systemic risk: evidence from European banking sector
- Pricing CoCos with equity conversion covenant in a distressed market environment
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