Publicação
Market-triggered contingent capital with incomplete information
| dc.contributor.author | Berg, Tobias | |
| dc.contributor.author | Schliephake, Eva | |
| dc.date.accessioned | 2024-07-30T14:49:43Z | |
| dc.date.available | 2024-07-30T14:49:43Z | |
| dc.date.issued | 2026-03-01 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/acceptedVersion | pt_PT |
| dc.identifier.doi | 10.1111/jmcb.13190 | pt_PT |
| dc.identifier.eid | 85198616891 | |
| dc.identifier.issn | 0022-2879 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/45955 | |
| dc.identifier.wos | 001268852600001 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | pt_PT |
| dc.subject | Banking regulation | pt_PT |
| dc.subject | Contingent capital | pt_PT |
| dc.subject | Global games | pt_PT |
| dc.subject | Risk-taking incentives | pt_PT |
| dc.title | Market-triggered contingent capital with incomplete information | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 589 | |
| oaire.citation.issue | 2 | |
| oaire.citation.startPage | 563 | |
| oaire.citation.title | Journal of Money, Credit and Banking | pt_PT |
| oaire.citation.volume | 58 | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |