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【金融高端论坛】第二十四期

发布日期:2014-05-09

【本期主题】Incentive Effects and Pricing of Contingent Capital
Contingent Capital bonds— known as contingent convertibles (CoCos) — are bonds that automatically write-down or convert to equity when the financial health of the issuer (typically a bank) deteriorates to a pre-defined trigger. Using a dynamic model of capital structure we show that if conversion terms are dilutive for existing shareholders, banks will have incentive to reduce likelihood of triggering by pursuing lower leverage, leading to less defaults and lower borrowing costs. Conversely, if at conversion, bond principal is written down without diluting shareholders, then banks will have perverse incentives to pursue higher leverage and capital destructive policies (money burning).
【报告人】Sergey Tsyplakov
【时间】2014年5月14日  10:00
【地点】明德主楼509室
【报告人简介】
Sergey Tsyplakov is Associate Professor in Finance at the Moore School of Business of the University of South Carolina. His research expertise is in corporate finance, risk management, fixed income, valuation and real estate. His work is published in many research journals including top-journals like the Journal of Finance, Journal of Financial Economics and the Review of Financial Studies.  Several of his research papers have been recognized with grants and awards including Goldman Sachs Asset Management Best Research Paper Prize for a paper published in the 2007 Review of Finance; Caesarea Award for the Best Paper on Risk Management at the 2003 Western Finance Association meetings; Outstanding Paper Award in Financial Institutions at the 2008 Southern Finance Association meetings; and the Best Paper Award at the 2012 Conference of the Paul Woolley Centre for the Study of Capital Market Dysfunctionality. Sergey Tsyplakov holds a PhD in Finance from the University of Texas-Austin and a Master’s Degree in Economics from the California Institute of Technology.

 

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