系统管理学报

系统管理学报 ›› 2023, Vol. 32 ›› Issue (1): 130-140.DOI: 10.3969/j.issn.1005-2542.2023.01.012

• 数字经济与金融工程 • 上一篇    下一篇

旨在缓释发行银行风险激励效应的或有可转债设计与定价

秦学志1，刘洋1，王麟1，宋宇2   

  1. 1. 大连理工大学经济管理学院，辽宁 大连 116024；2.中国东方资产管理股份有限公司评估管理部，北京 100033
  • 出版日期:2023-01-28 发布日期:2023-01-17
  • 作者简介:秦学志（1965-），男，教授。研究方向为金融工程。
  • 基金资助:
    国家自然科学基金资助项目（71871040）；国家社会科学基金重大项目（18ZDA095）

Design and Pricing of CoCos Aimed at Mitigating Risk-Incentive Effect on Issuing Banks

QIN Xuezhi1, LIU Yang1, WANG Lin1, SONG Yu2   

  1. 1. School of Economics and Management, Dalian University of Technology, Dalian 116024, Liaoning, China; 2. Evaluation Management Department, China Orient Asset Management Co., Ltd., Beijing 100033, China

  • Online:2023-01-28 Published:2023-01-17

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摘要：

为了缓释CoCos内蕴的对发行银行的风险激励效应，增强其市场吸引力，设计了一种关联发行银行财务困境成因的减记条款：对于发行银行因自身经营不善而导致的财务困境，此CoCos并不实施减记。在此基础上，运用马尔科夫状态转移方法和结构化定价方法，确定了CoCos价值、发行银行资产价值、股权价值和阈值的表达式。进一步，通过数值模拟与对比分析等发现：CoCos的适宜设计可藉其缓释发行银行的风险激励效应；所设计的减记条款具有情景依赖性：若发行银行经营能力下降，则其受经济周期所处状态的影响程度趋于增大；发行银行资产价值和CoCos价值均随风险的增大而减小，特别地，受风险偏好等因素的影响，在经济繁荣期上述相应效应呈现出非线性特征的“微笑”形态。

关键词:

或有可转债, 条款设计, 风险激励效应, 微笑

Abstract:

To mitigate the inherent risk-incentive effect of CoCos on issuing banks and enhance its market attractiveness, a write-down clause related to the causes of financial distress of issuing banks is design. Unlike the existing CoCos, if the financial distress is caused by poor management, the trigger event would not occur. Then, the values of CoCos, the asset of issuing banks, the equity, and the endogenous thresholds are given by using the Markov-switching method along with the structural credit derivatives pricing method. The numerical analysis shows that the risk-incentive effect of CoCos on issuing banks can be mitigated by appropriate design. The write-down clause provided is scenario-dependent. The issuing bank is more vulnerable to the state of economy when its operating capacity decreases. Besides, the values of both the asset of issuing banks and CoCos decrease with the increase of risk. Particularly, due to the influence of risk preference and other factors, the corresponding effects above are in “smile” shapes in a booming economy.

Key words:

contingent convertible bonds (CoCos), clause design, risk-incentive effect, smile

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