论文标题
金融网络中的或有兑换债券
Contingent Convertible Bonds in Financial Networks
论文作者
论文摘要
我们研究了偶然可转换债券（COCO）在复杂的互连银行网络中的作用。通过研究系统的相转换，我们揭示了银行间网络的结构对于可可作为金融稳定性增强机制的有效性至关重要。我们的结果表明，在某些网络结构下，可可的存在可能会增加（而不是减少）财务脆弱性，因为发生了不需要的触发器和损害可可投资者的次优率转换。我们还证明，在存在适度的财务冲击的情况下，轻度互连的金融网络比高度互连的网络更强大。这使它们成为可可发行人和买家的潜在最佳选择。
We study the role of contingent convertible bonds (CoCos) in a complex network of interconnected banks. By studying the system's phase transitions, we reveal that the structure of the interbank network is of fundamental importance for the effectiveness of CoCos as a financial stability enhancing mechanism. Our results show that, under some network structures, the presence of CoCos can increase (and not reduce) financial fragility, because of the occurring of unneeded triggers and consequential suboptimal conversions that damage CoCos investors. We also demonstrate that, in the presence of a moderate financial shock, lightly interconnected financial networks are more robust than highly interconnected networks. This makes them a potentially optimal choice for both CoCos issuers and buyers.
