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Indexed by:会议论文

Date of Publication:2017-11-17

Included Journals:EI

Volume:780

Page Number:242-249

Abstract:If financial systemic crisis occurred, one of the effective countermeasures is to issue contingent securities like contingent convertible bonds (CoCos). In this paper, we present a new kind of CoCos which is of investor-friendly dual-trigger property, and it is called “Contingent Convertible bond after Converted ?which can be put back at a discount price or converted into CoCos prior to an imminent financial systemic risk. We provided the design rule of this bond and a closed-form pricing formula under some assumptions, and this kind of bond is likely to be more powerful in loss absorbing capacity. Consequently, it is necessary to restrain investors ?option to put the CoCoCo back in order to keep loss absorbing capacity more powerful, meaning to limit the discount ratio α less than 1. © 2017, Springer Nature Singapore Pte Ltd.