Contingent Convertibles with Stock Price Triggers: The Case of Perpetuities
研究了当或有可转换债券（CoCos）为永续债时，股价触发转换是否会导致多重均衡或无均衡的问题，发现除不现实条件外存在唯一均衡，并分析了银行的风险选择。
Initial proposals for contingent convertibles (CoCos) envisioned that these bonds would convert to equity when the issuing bank’s stock price declined to a prespecified trigger. Subsequent research has claimed that doing so causes the stock price to have multiple equilibria or no equilibrium. We show that when CoCos are perpetuities, which characterizes most actual CoCos, a unique stock price equilibrium exists, except under unrealistic conditions. Unique equilibria occur when conversion favors or disfavors CoCo investors, when CoCos convert to equity or are written down, and when CoCos are callable. We also analyze a bank’s risk choices before and after conversion. Received November 29, 2016; editorial decision July 15, 2018 by Editor Itay Goldstein.