Callable Contingent Capital: Valuation and Default Risk

References

• Acharya V, Carpenter J (2002) Callable bonds valuation and hedging with stochastic interest rates and endogenous bankruptcy. Rev. Financial Stud. 15(5):1355–1383.Crossref, Google Scholar
• Admati A, DeMarzo P, Hellwig M, Pfleiderer P (2011) Fallacies, irrelevant facts, and myths in the discussion of capital regulation: Why bank equity is not expensive. Working paper, Stanford University, Stanford, CA.Google Scholar
• Allen & Overy (2013) Global tax practice: Tax treatment of additional Tier 1 capital under Basel III. Report, Allen & Overy, London.Google Scholar
• Anderson R, Sundaresan S (1996) Design and valuation of debt contracts. Rev. Financial Stud. 9(1):37–68.Crossref, Google Scholar
• Bhanot K, Mello AS (2006) Should corporate debt include a rating trigger? J. Finance 79(1):69–98.Google Scholar
• Black F, Cox J (1976) Valuing corporate securities: Some effects of bond indenture provisions. J. Finance 31(2):351–367.Crossref, Google Scholar
• Bolton P, Samama F (2012) Capital access bonds: Contingent capital with an option to convert. Econom. Policy 27(70):275–317.Crossref, Google Scholar
• Brennan M (1979) The pricing of contingent claims in discrete time models. J. Finance 34(1):53–68.Crossref, Google Scholar
• Calomiris C, Herring R (2011) Why and how to design a contingent convertible debt requirement. Working paper, Wharton Financial Institutions Center.Google Scholar
• Cook D, Easterwood J (1994) Poison put bonds: An analysis of their economic role. J. Finance 49(5):1905–1920.Crossref, Google Scholar
• Detemple J, Tian W, Xiong J (2012) Optimal stopping with reward constraints. Finance Stochastics 16(3):423–448.Crossref, Google Scholar
• Douglas D, Prescott E, Korenok O (2014) An experimental analysis of market-based contingent capital triggering mechanisms. J. Money, Credit Banking 46(5):999–1033.Crossref, Google Scholar
• Duffie D (2009) A contractual approach to restructing financial institutions. Scott K, Schultz GP, Taylor JB, eds. Ending Government Bailouts as We Know Them, Chap. 6 (Hoover Institute Press, Stanford University, Stanford, CA).Google Scholar
• Financial Stability Oversight Council (2012) Report to Congress on study of a contingent capital requirement for certain nonbank financial companies and bank holding companies. Completed pursuant to Section 115(c) of the Dodd-Frank Wall Street Reform and Consumer Protection Act. Report, U.S. Department of the Treasury, Washington, DC.Google Scholar
• Flannery M (2005) No pain, no gain? Effecting market discipline via reverse convertible debentures. Capital Adequacy Beyond Basel: Banking Securities and Insurance, Chap. 5 (Oxford University Press, Oxford, UK).Crossref, Google Scholar
• Flannery M (2010) Stablizing large financial institutions with contingent capital certificates. Working paper, University of Florida, Gainesville.Google Scholar
• Garlappi L, Shu T, Yan H (2008) Default risk, shareholder advantage, and stock returns. Rev. Financial Stud. 21(6):2743–2778.Crossref, Google Scholar
• Geske R (1979) The valuation of compound options. J. Financial Econom. 7(1):63–81.Crossref, Google Scholar
• Glasserman P, Nouri B (2012) Contingent capital with a capital-ratio trigger. Management Sci. 58(10):1816–1833.Link, Google Scholar
• Glasserman P, Wang Z (2011) Valuing the Treasury’s capital assistance program. Management Sci. 57(7):1195–1211.Link, Google Scholar
• Hillion P, Vermaelen T (2004) Death spiral convertible. J. Financial Econom. 71(2):381–415.Crossref, Google Scholar
• Kashyap A, Rajan R, Stein J (2008) Rethinking capital regulation. Sellon GH Jr, Bundick B, eds. Maintaining Stability in a Changing Financial System. (Federal Reserve Bank of Kansas City, Kansas City, MO), 431–471.Google Scholar
• Karatzas I, Shreve S (1998) Methods of Mathematical Finance (Springer-Verlag, New York).Crossref, Google Scholar
• Leland H (1994) Corporate debt value, bond covenants, and optimal capital structure. J. Finance 49(4):1213–1252.Crossref, Google Scholar
• Manso G (2013) Feedback effects of credit ratings. J. Financial Econom. 109(2):535–545.Crossref, Google Scholar
• Manso G, Strulovici B, Tchistyi A (2010) Performance-sensitive debt. Rev. Financial Stud. 23(5):1819–1854.Crossref, Google Scholar
• McDonald R (2010) Contingent capital with a dual price trigger. J. Financial Stability 9(2):230–241.Crossref, Google Scholar
• Pennacchi G, Vermaelen T, Wolff C (2014) Contingemt capital: The case for COERCs. J. Financial Quant. Anal. 49(3):541–574.Crossref, Google Scholar
• Sundaresan S, Wang Z (2015) Design of contingent capital with a stock price trigger for mandatory conversion. J. Finance 70(2):881–920.Crossref, Google Scholar
• Vaughan L (2011) Basel regulators force banks to cut contingent convertible plans. Bloomberg (July 19), http://www.bloomberg.com/news/articles/2011-07-19/basel-regulators-force-banks-to-cut-contingent-convertible-plans.Google Scholar
• Zingales L, Hart O (2011) A new capital regulation for large financial institutions. Amer. Law Econom. Rev. 13(2):453–90.Crossref, Google Scholar