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題名 Bank Contingent Capital: Valuation and the Role of Market Discipline
作者 俞明德
Chang, Chia Chien
Yu, Min The
貢獻者 風險與保險研究中心
關鍵詞 Contingent capital notes; Basel III; Subordinated debts; Bank capital requirement; Market discipline
日期 2016-08
上傳時間 31-Aug-2017 11:38:19 (UTC+8)
摘要 This paper develops a structural model to evaluate contingent capital notes (CCN) of Basel III under alternative regulatory closure rules. Our dynamic model has a fixed default barrier and at specific discrete time points an additional higher default barrier depending on the closure threshold. The closed-form expressions of CCN and subordinated debts (SD) in the simple Merton model are presented to understand the convex relationship between the price and capital ratio trigger of CCN and to examine the effects of closure rules on CCN and SD through their derivatives’ properties. Our numerical results in the more general model show that a lax closure rule increases the price of SD and distorts the risk information of issuing banks, but not so for CCN. The policy implications are that CCN are more effective than SD in terms of enhancing market discipline because the price/yield information of CCN is more sensitive to the issuing bank’s risk than SD and will not be distorted by regulatory closure rules.
關聯 Journal of Financial Services Research
資料類型 article
DOI http://dx.doi.org/10.1007/s10693-016-0259-9
dc.contributor 風險與保險研究中心zh_TW
dc.creator (作者) 俞明德zh_TW
dc.creator (作者) Chang, Chia Chienen_US
dc.creator (作者) Yu, Min Theen_US
dc.date (日期) 2016-08
dc.date.accessioned 31-Aug-2017 11:38:19 (UTC+8)-
dc.date.available 31-Aug-2017 11:38:19 (UTC+8)-
dc.date.issued (上傳時間) 31-Aug-2017 11:38:19 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112333-
dc.description.abstract (摘要) This paper develops a structural model to evaluate contingent capital notes (CCN) of Basel III under alternative regulatory closure rules. Our dynamic model has a fixed default barrier and at specific discrete time points an additional higher default barrier depending on the closure threshold. The closed-form expressions of CCN and subordinated debts (SD) in the simple Merton model are presented to understand the convex relationship between the price and capital ratio trigger of CCN and to examine the effects of closure rules on CCN and SD through their derivatives’ properties. Our numerical results in the more general model show that a lax closure rule increases the price of SD and distorts the risk information of issuing banks, but not so for CCN. The policy implications are that CCN are more effective than SD in terms of enhancing market discipline because the price/yield information of CCN is more sensitive to the issuing bank’s risk than SD and will not be distorted by regulatory closure rules.en_US
dc.format.extent 1390557 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Journal of Financial Services Researchen_US
dc.subject (關鍵詞) Contingent capital notes; Basel III; Subordinated debts; Bank capital requirement; Market disciplineen_US
dc.title (題名) Bank Contingent Capital: Valuation and the Role of Market Disciplineen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1007/s10693-016-0259-9
dc.doi.uri (DOI) http://dx.doi.org/10.1007/s10693-016-0259-9