Bank Risk Dynamics Where Assets are Risky Debt Claims
将银行资产视为风险债务债权，分析银行与债务人策略互动，发现风险转移仅在债务人财务困境时发生，且随破产成本增加而上升、随银行资本增加而下降。
Abstract The structural approach views firm's equity as a call option on the value of its assets, which motivates stockholders to increase risk. However, since bank assets are risky debt claims, bank equity resembles a subordinated debt. Using this assumption, and considering the strategic interaction between a bank and its debtor, we argue that risk shifting is limited to states in which the debtor is in financial distress. Furthermore, risk shifting increases with bankruptcy costs and decreases with bank capital. Thus, increasing a bank's capital affects stability, not only through the additional capital buffer, but also by affecting the risk shifting incentive.