Full metadata record
DC Field | Value | Language |
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dc.citation.endPage | 93 | - |
dc.citation.startPage | 77 | - |
dc.citation.title | INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | - |
dc.citation.volume | 59 | - |
dc.contributor.author | Jang, Hyun Jin | - |
dc.contributor.author | Na, Young Hoon | - |
dc.contributor.author | Zheng, Harry | - |
dc.date.accessioned | 2023-12-21T20:11:00Z | - |
dc.date.available | 2023-12-21T20:11:00Z | - |
dc.date.created | 2018-07-08 | - |
dc.date.issued | 2018-10 | - |
dc.description.abstract | Contingent convertible bonds (CoCos) are hybrid instruments characterized by both debt and equity. CoCos are automatically converted into equity or written down when a predefined trigger event occurs. The present study quantifies the issuing bank's default risk that only manifests in the post-conversion period for pricing CoCos depending on a loss-absorbing method. This work aims to reflect the distinct features of equity-conversion CoCos - in contrast to a write-down CoCos - in a valuation framework. Accordingly, we propose a model to compute the ratio of common equity Tier 1 (CET1), which is composed of core capital and risky assets, by employing a geometric Brownian motion and a random variable. Then, we formulate the post-conversion risk premium by measuring the probability with which the bank's CET1 ratio breaches a regulatory default threshold after conversion. Finally, we empirically examine a positive value of the post-conversion risk premium embedded in the market prices of equity-conversion CoCos. | - |
dc.identifier.bibliographicCitation | INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.59, pp.77 - 93 | - |
dc.identifier.doi | 10.1016/j.irfa.2018.07.003 | - |
dc.identifier.issn | 1057-5219 | - |
dc.identifier.scopusid | 2-s2.0-85049745589 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/24322 | - |
dc.identifier.url | https://www.sciencedirect.com/science/article/pii/S1057521918303016 | - |
dc.identifier.wosid | 000444513600006 | - |
dc.language | 영어 | - |
dc.publisher | Elsevier BV | - |
dc.title | Contingent convertible bonds with the default risk premium | - |
dc.type | Article | - |
dc.description.isOpenAccess | TRUE | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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