在金融网络中的条件可转换债券
Giovanni Calice1, Carlo Sala2, Daniele Tantari3
1Bangor Business School, Bangor University, Bangor, LL57 2DG, UK.
Scientific reports
|December 15, 2023
概括
条件可转换债券 (CoCos) 的有效性取决于银行网络结构. 在某些网络中,CoCos可以放大金融脆弱性,强调需要仔细设计网络以确保金融稳定.
科学领域:
- 金融经济学 金融经济学
- 网络理论 网络理论
- 系统风险分析系统风险分析
背景情况:
- 金融机构的相互联系构成系统性风险.
- 条件可转换债券 (CoCos) 旨在增强银行资本和金融稳定.
- CoCos对金融稳定的影响是复杂的,并且依赖于网络.
研究的目的:
- 调查CoCos在复杂的银行间网络中的作用.
- 分析网络结构如何影响CoCos在促进金融稳定方面的有效性.
- 确定优化CoCos功能的网络特征.
主要方法:
- 基于代理的银行间网络建模.
- 系统相位转换的分析.
- 金融冲击和CoCos触发器的模拟.
主要成果:
- 银行间网络的结构对于CoCos的有效性至关重要.
- 某些网络结构可能会导致由于低于最佳的CoCos触发器而导致财务脆弱性增加.
- 与高度互联的网络相比,轻度互联的网络对中度金融冲击具有更强的稳定性.
结论:
- CoCos不是普遍稳定;他们的影响取决于网络拓.
- 网络设计对于最大限度地发挥好处并最大限度地降低与CoCos.相关的风险至关重要.
- 不太相互连接的金融网络可能为CoCos发行人和投资者提供更稳定的环境.
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