{"title":"不完全信息下的市场触发式或有资本","authors":"TOBIAS BERG, EVA SCHLIEPHAKE","doi":"10.1111/jmcb.13190","DOIUrl":null,"url":null,"abstract":"We analyze the equilibria of market‐triggered contingent capital if a bank's asset value is <jats:italic>not</jats:italic> 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.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.2000,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Market‐Triggered Contingent Capital with Incomplete Information\",\"authors\":\"TOBIAS BERG, EVA SCHLIEPHAKE\",\"doi\":\"10.1111/jmcb.13190\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We analyze the equilibria of market‐triggered contingent capital if a bank's asset value is <jats:italic>not</jats:italic> 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.\",\"PeriodicalId\":48328,\"journal\":{\"name\":\"Journal of Money Credit and Banking\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2024-07-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Money Credit and Banking\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1111/jmcb.13190\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Money Credit and Banking","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1111/jmcb.13190","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.