Contingent capital
Studies of Contingent Capital Bonds
... statements. Capital ratio triggers are studied and used in the quantitative re- search of contingent capital, such as Glasserman and Nouri [8], Pennacchi [13] and Metzler and Reesor [12], ...I ...
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Strengthening Bank Regulation: OSFI's Contingent Capital Plan
... The concept of contingent capital is neither new nor radical (Flannery 2005, Squam Lake Group 2009). It reverses a prolonged trend toward weakening of shareholders’ and depositors’ interests in monitoring ...
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Contingent capital to strengthen the private safety net for financial institutions: Cocos to the rescue?
... equity capital becomes mandatory when regulatory capital threatens to become ...that capital ratio may be set somewhat above the regulatory minimum say of core tier-1 capital divided by ...
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Countercyclical contingent capital (CCC): possible use and ideal design
... Contingent capital – any debt instrument that converts into equity when a predefined event occurs – has received increasing attention as a viable tool for allowing banks to raise capital when needed ...
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Initial Reflections on the Possible Application of Contingent Capital in Corporate Governance
... The nas- cent market in contingent capital securities, in combination with the regulatory evaluation of CCS in various jurisdictions, could be an opportunity to consi[r] ...
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Contingent Capital with Sequential Triggers
... of contingent capital must be sufficient to deal with the ...or contingent capital would convert. Id. We suggest that contingent capital holdings equivalent to six percent of ...
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Contingent Capital and Bank Risk-Taking among British Banks before World War I
... Another important dimension of nonlinearity is the interaction of bank size with uncalled liability. The basic interpretation of our main results is that a stricter liability rule creates an incentive for bank ...
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I M F S T A F F D I S C U S S I O N N O T E. From Bail-out to Bail-in: Mandatory Debt Restructuring of Systemic Financial Institutions
... Banks’ capital structures tend to be determined by the tradeoff between the marginal costs of debt ...total capital to lower the cost on senior debt—this is reflected in the renewed interest in ...
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A structural model of contingent bank capital
... …ve-year contingent capital bond that converts at full value (p = 1) but at a smaller equity threshold of e = 1% is given in Schedule ...total capital ratio threshold of 5%, so new issue yields are ...
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Contingent liquidity
... no capital losses. In this respect contingent liquidity is fundamentally different from contingent capital, an instrument advocated by many to address solvency risk (see ...
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Dispatch of Instantaneous Reserve
... The NWG IR dispatch proposal focuses on changes that are achievable in a shorter timeframe than the full proposal. Its scope is limited to the dispatch of instantaneous reserve when there is a shortage of offers in ...
10
Multivariate Option Pricing with Copulas.
... In this paper we suggest the adoption of copula functions in order to price multivariate contingent claims. Copulas enable us to imbed the marginal distributions extracted from vertical spreads in the options mar- ...
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INTOSAI PUBLIC DEBT COMMITTEE MOSCOW 2004 UK NATIONAL AUDIT OFFICE. Contingent Public Debt
... reporting contingent debt in financial statements - an increasing number of countries are preparing accrual based financial ...statements. Contingent liabilities are recognised on the balance sheet through ...
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Contingent Claims: A stock option that is a derivative security whose value is contingent on the price of the stock.
... A futures contract is a transferable agreement to make [short] or take [long] delivery of a standardized amount and designated quality, at a specified price, at a specified date in th[r] ...
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Sovereign Debt as a Contingent Claim: A Quantitative Approach*
... We also find that the equilibrium in which there is no default for all states implies greater welfare, despite providing less consumption smoothing. This result is due to the additional output costs of defaulting, which ...
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Measuring contingent employment in Ireland
... of contingent employment exists, and the measurement approach will tend to vary according to the organisation of labour and contractual arrangements that pertain within ...framework, contingent workers will ...
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Pricing of Contingent Convertibles
... 1 capital ratios are not continuously available as stock prices ...regulatory capital ratios far above the minimum level of ...of capital-based triggers are that they are not subject to market ...
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Tax evasion as contingent debt
... In partial equilibrium, the elimination of evasion brings a positive fiscal boost resulting in tax revenues rising by 6%, equivalent to an increase of 1.51 percentage points on GDP. 32 We turn now to the general ...
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Stephen T. Higgins, Ph.D., and Nancy M. Petry, Ph.D.
... vouchers contingent on submis- sion of cocaine-free urine specimens ...(i.e., contingent group) or to receive vouchers regardless of drug test results ...the contingent group, and both groups were ...
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State of Nevada Department of Business & Industry Division of Insurance LONG-TERM CARE INSURANCE POTENTIAL RATE INCREASE DISCLOSURE FORM
... the contingent nonforfeiture benefits described above, the following reduced “paid up” contingent nonforfeiture benefit is an option in all long-term care insurance contracts that have a fixed or limited ...
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