Contingent Convertible Obligations and Financial Stability

DOI10.1137/22M1498954OpenAlexW3124109704MaRDI QIDQ5886362

T. R. Hurd, Zachary Feinstein

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

stress testingsystemic riskinterbank networksbanking regulationnetwork valuation

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• The risk management of contingent convertible (CoCo) bonds
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• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• Impact of contingent payments on systemic risk in financial networks
• Systemic Risk in Financial Systems
• Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
• An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
• VALUING CORPORATE DEBT : THE EFFECT OF CROSS-HOLDINGS OF STOCK AND DEBT
• The impact of CoCo bonds on systemic risk considering liquidity risk
• Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments
• Obligations with Physical Delivery in a Multilayered Financial Network
• Interbank Clearing in Financial Networks with Multiple Maturities

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