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On the Design of Contingent Capital with a Market Trigger
16 references·16 citing·32 second hopsampled
On the Design of Contingent Capital with a Market Trigger (2014)On the Design of Contingent Capital with …The Real Effects of Financial Markets (2012)The Real Effects of Financial…Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive (2010)Fallacies, Irrelevant Facts, …Market-Based Corrective Actions (2009)Market-Based Corrective Actio…Rethinking Capital Regulation (2008)Rethinking Capital RegulationThe Costs of Bankruptcy: Chapter 7 Liquidation versus Chapter 11 Reorganization (2006)The Costs of Bankruptcy: Chap…Theory of rational option pricing (2005)Theory of rational option pri…No Pain, No Gain? Effecting Market Discipline via “Reverse Convertible Debentures” (2005)No Pain, No Gain? Effecting M…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Investment under Uncertainty (1994)Investment under UncertaintyA Further Empirical Investigation of the Bankruptcy Cost Question (1984)A Further Empirical Investiga…Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…Option pricing: A simplified approach (1979)Option pricing: A simplified …VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Rules versus Discretion in Bank Resolution (2020)Rules versus Discretion in Ba…CoCo issuance and bank fragility (2020)CoCo issuance and bank fragil…Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks (2019)Default Ambiguity: Credit Def…Convertible bonds and bank risk-taking (2018)Convertible bonds and bank ri…Stabilizing large financial institutions with contingent capital certificates (2017)Stabilizing large financial i…Contingent Capital, Tail Risk, and Debt-Induced Collapse (2017)Contingent Capital, Tail Risk…Bank capital, liquid reserves, and insolvency risk (2017)Bank capital, liquid reserves…Market-Triggered Changes in Capital Structure: Equilibrium Price Dynamics (2016)Market-Triggered Changes in C…Stabilizing Large Financial Institutions with Contingent Capital Certificates (2015)Stabilizing Large Financial I…Maintaining Adequate Bank Capital (2014)Maintaining Adequate Bank Cap…Contingent Capital Instruments for Large Financial Institutions: A Review of the Literature (2014)Contingent Capital Instrument…Bank stability and market discipline: The effect of contingent capital on risk taking and default probability (2014)Bank stability and market dis…Anatomy of a bail-in (2014)Anatomy of a bail-inCoCos: A Primer (2013)CoCos: A PrimerContingent Convertible ('CoCo') Bonds: A First Empirical Assessment of Selected Pricing Models (2012)Contingent Convertible ('CoCo…A Structural Model of Contingent Bank Capital (2010)A Structural Model of Conting…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Pricing of Options and Corporate Liabilities (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)Management turnover and financial distress (1989)Contagion and competitive intra-industry effects of bankruptcy announcements (1992)Do Tests of Capital Structure Theory Mean What They Say? (2007)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)Market Liquidity and Funding Liquidity (2008)A Monetary History of the United States, 1867-1960 (2017)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Capital markets research in accounting (2001)Policy Uncertainty and Corporate Investment (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1984A Further Empirical Investigation of the Bankruptcy Cost Question1,009 cited
  • 2012The Real Effects of Financial Markets899 cited
  • 2006The Costs of Bankruptcy: Chapter 7 Liquidation versus Chapter 11 Reorganization698 cited
  • 2010Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive513 cited
  • 2008Rethinking Capital Regulation469 cited
  • 2005No Pain, No Gain? Effecting Market Discipline via “Reverse Convertible Debentures”297 cited

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2009
Market-Based Corrective Actions
278 cited

Cited by

  • 2014Bank stability and market discipline: The effect of contingent capital on risk taking and default probability160 cited
  • 2017Bank capital, liquid reserves, and insolvency risk135 cited
  • 2010A Structural Model of Contingent Bank Capital103 cited
  • 2014Anatomy of a bail-in97 cited
  • 2014Contingent Capital Instruments for Large Financial Institutions: A Review of the Literature93 cited
  • 2020CoCo issuance and bank fragility71 cited
  • 2014Maintaining Adequate Bank Capital68 cited
  • 2017Stabilizing large financial institutions with contingent capital certificates64 cited
  • 2020Rules versus Discretion in Bank Resolution63 cited
  • 2016Market-Triggered Changes in Capital Structure: Equilibrium Price Dynamics62 cited
  • 2018Convertible bonds and bank risk-taking54 cited
  • 2019Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks52 cited
  • 2017Contingent Capital, Tail Risk, and Debt-Induced Collapse51 cited
  • 2013CoCos: A Primer50 cited
  • 2012Contingent Convertible ('CoCo') Bonds: A First Empirical Assessment of Selected Pricing Models48 cited
  • 2015Stabilizing Large Financial Institutions with Contingent Capital Certificates48 cited