Market‐Triggered Contingent Capital with Incomplete Information
研究了银行资产价值非公开时市场触发或有资本的均衡，发现杠杆率、面值和稀释程度提高转换概率，且公私信号并存限制最优设计。
Abstract We analyze the equilibria of market‐triggered contingent capital if a bank's asset value is not common knowledge. Using a global game setup with private signals, we characterize the unique equilibrium for the conversion of the market‐triggered contingent capital. The conversion likelihood increases with higher bank leverage, a higher face value of contingent capital, and a greater dilution for incumbent shareholders. We further show that the existence of both a private and a public signal constrains the optimal design of contingent capital for which a unique equilibrium exists.