不完全信息下的市场触发式或有资本

IF 1.2 3区 经济学 Q3 BUSINESS, FINANCE
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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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
CiteScore
2.90
自引率
6.70%
发文量
98
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