Fighting Fire with Gasoline: CoCos in Lieu of Equity
理论分析了巴塞尔III框架下的或有可转换债券（CoCos）能否降低银行违约风险，发现最流行的临时减记型CoCos反而会因持续扭曲股东激励而诱发更早的内生违约。
Abstract In this paper, I theoretically examine the ability of contingent convertible bonds (CoCos), a source of bank capital under Basel III, to reduce the bank's default risk. Although issuing CoCos adds a buffer to the bank's balance sheet, it may induce wrong incentives in the form of debt overhang and risk shifting. My results indicate that the most popular type of CoCos, temporary write‐down (TWD), is least effective at mitigating default risk. Unlike other types of CoCos, TWDs continue affecting shareholders' incentives even after the trigger event, thereby inducing an earlier endogenous default.