دورية أكاديمية
Revue of contingent capital pricing model using growth and barrier option approach with numerical application
| العنوان: | Revue of contingent capital pricing model using growth and barrier option approach with numerical application |
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| المؤلفون: | Fathi Abid, Ons Triki, Asma Khadimallah |
| المصدر: | Mathematics and Modeling in Finance, Vol 3, Iss 1, Pp 165-190 (2023) |
| بيانات النشر: | Allameh Tabataba'i University Press, 2023. |
| سنة النشر: | 2023 |
| المجموعة: | LCC:Finance LCC:Mathematics |
| مصطلحات موضوعية: | contingent capital, capital structure, banking regulation, default probability, real option, risk incentive, Finance, HG1-9999, Mathematics, QA1-939 |
| الوصف: | This paper investigates the effects of contingent capital, a debt instrument that automatically converts into equity if the value of the asset is below a predetermined threshold on the pricing process of a bank assets’. A traceable form of the contingent convertible bond is analyzed to find a closed-form solution for the price of this bond using barrier and growth options. We examine the interaction between growth options and financing policy in a dynamic business model. The contribution of this paper is to extend Hilscher and Raviv [10] and Tan and Yang [22] research to include the evaluation of all aspects of banks' financial structure, with an emphasis on explicitly calculating the likelihood of the default event. The fundamental theorem of asset pricing and the first passage of time method have been used to generate closed formulas that are amenable to practical analysis. The potential benefits from contingent capital as financing and risk management instrument can be assessed through their contribution to reducing the probability of default. The appropriate choice of contingent capital parameters, the rate, and the conversion threshold can reduce shareholders incentives to change risk. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English |
| تدمد: | 2783-0578 2783-056X |
| العلاقة: | https://jmmf.atu.ac.ir/article_16297_7058db71053d68ca421576429d5db304.pdfTest; https://doaj.org/toc/2783-0578Test; https://doaj.org/toc/2783-056XTest |
| DOI: | 10.22054/jmmf.2023.74638.1092 |
| الوصول الحر: | https://doaj.org/article/c69da42ddfb94b99af49b9bce75145eeTest |
| رقم الانضمام: | edsdoj.69da42ddfb94b99af49b9bce75145ee |
| قاعدة البيانات: | Directory of Open Access Journals |
| تدمد: | 27830578 2783056X |
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| DOI: | 10.22054/jmmf.2023.74638.1092 |