최신자료
Contingent convertible debt: what is and what should have been
This paper develops a model of AT1 CoCos and corporate securities analysing the role of CoCos as replacements of Equity or of Debt. Our results show that, in terms of value creation, CoCos perform better when they replace vanilla corporate debt rather than when they replace common Equity. Moreover, we show as well that although debt increases the probability of bankruptcy, given the coupon suspension possibility, with CoCos the probability of financial distress is higher. Our paper also highlights the considerable complexity of this instrument, something at odds with its role as a potential solution to a financial crisis in part triggered by less complex securities.
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