不完全信息下的市场触发式或有资本

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2024-07-17 DOI:10.1111/jmcb.13190

TOBIAS BERG, EVA SCHLIEPHAKE

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引用次数: 0

摘要

我们分析了在银行资产价值不为人知的情况下市场触发或有资本的均衡。利用具有私人信号的全局博弈设置，我们描述了市场触发的或有资本转换的唯一均衡。银行杠杆率越高，或有资本的面值越高，或有资本的稀释程度越大，转换的可能性就越大。我们进一步证明，私人信号和公共信号的存在制约了或有资本的最优设计，而最优设计存在唯一均衡。

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Market‐Triggered Contingent Capital with Incomplete Information

We analyze the equilibria of market‐triggered contingent capital if a bank's asset value is not common knowledge. Using a global game setup with private signals, we characterize the unique equilibrium for the conversion of the market‐triggered contingent capital. The conversion likelihood increases with higher bank leverage, a higher face value of contingent capital, and a greater dilution for incumbent shareholders. We further show that the existence of both a private and a public signal constrains the optimal design of contingent capital for which a unique equilibrium exists.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.