论文标题
银行间网络中有股票价格触发器的或有资本
Contingent Capital with Stock Price Triggers in Interbank Networks
论文作者
论文摘要
本文研究了银行业模型中的存在和均衡价格的独特性，在该模型中，银行贸易有贸易的可转换债券与股票价格触发者彼此之间。这种类型的金融产品是作为金融危机后稳定全球银行体系的一种工具。然而，很早就认识到，这些产品可能会在股票价格定义中造成循环问题，即使在没有贸易的情况下也是如此。我们发现，如果转换阈值使债券持有人对边际转换无动于衷，那么无论网络结构如何，都存在独特的平衡。当阈值较低时，平衡的存在分解，而较高的阈值可能导致均衡性多样性。此外，还有复杂的网络效应。一家银行的转换可能会触发进一步的转换，或者根据资产价值和转换触发器的星座进行阻止。
This paper studies existence and uniqueness of equilibrium prices in a model of the banking sector in which banks trade contingent convertible bonds with stock price triggers among each other. This type of financial product was proposed as an instrument for stabilizing the global banking system after the financial crisis. Yet it was recognized early on that these products may create circularity problems in the definition of stock prices - even in the absence of trade. We find that if conversion thresholds are such that bond holders are indifferent about marginal conversions, there exists a unique equilibrium irrespective of the network structure. When thresholds are lower, existence of equilibrium breaks down while higher thresholds may lead to multiplicity of equilibria. Moreover, there are complex network effects. One bank's conversion may trigger further conversions - or prevent them, depending on the constellations of asset values and conversion triggers.
