或有可转换债券与金融稳定
Contingent Convertible Obligations and Financial Stability
摘要：
本文探讨了如果金融机构通过交换或有可转换债务（CoCo）来分担风险，是否可以使金融体系更加稳定。这个问题是在一个债务和股权相互联系的金融网络模型中提出的，该模型增加了CoCo的一个变体，当银行的股权-债务比率下降到触发水平时，CoCo会不断转换。主要的理论结果是一个完整的特性的清算问题的银行间债务和股权在到期的义务。然后，我们引入程式化的网络研究时，引入或有可转换债券提高金融稳定性，以及特定的网络，或有可转换债券不提供统一的改善系统性能。为了回到主要问题，我们在2011年EBA压力测试时检查了欧盟金融网络，以进行比较静态分析，研究CoCo债务对金融稳定的影响。研究发现，通过用标准化的CoCo银行间债务证券取代所有无担保的银行间债务，欧盟的系统性风险将降低，银行股东价值将增加。
英文摘要：
This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The question is framed in a financial network model of debt and equity interlinkages with the addition of a variant of the CoCo that converts continuously when a bank's equity-debt ratio drops to a trigger level. The main theoretical result is a complete characterization of the clearing problem for the interbank debt and equity at the maturity of the obligations. We then introduce stylized networks to study when introducing contingent convertible bonds improves financial stability, as well as specific networks for which contingent convertible bonds do not provide uniformly improved system performance. To return to the main question, we examine the EU financial network at the time of the 2011 EBA stress test to do comparative statics to study the implications of CoCo debt on financial stability. It is found that by replacing all unsecured interbank debt by standardized CoCo interbank debt securities, systemic risk in the EU will decrease and bank shareholder value will increase.
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