A structural framework for modelling contingent capital
构建了一个或有资本的结构模型，将企业总支出与债务成本线性关联，推导出永续债券的闭式解，并用加拿大银行业数据展示了模型如何帮助监管者和发行者评估转换价格范围及成本。
This paper develops a structural model of contingent capital. In contrast to existing approaches we explicitly link the firm’s total payout to its cost of debt, leading to a total payout that is linear in—as opposed to proportional to—asset value. In the special case that asset value evolves as affine geometric Brownian motion we derive closed-form expressions for limiting (i.e. perpetual) bond values. The proposed model is flexible, so that it can be used to gauge the relative merits of different variations of contingent capital, and parsimonious, so that it is relatively easy to implement in practice. An empirical example using data from the Canadian banking sector is provided that illustrates how the model can generate insights into problems that are of interest to both regulators and issuers of contingent capital (e.g. what range of conversion prices would be consistent with regulatory guidelines, and how expensive is contingent debt over this range).