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Mega-Banks' Self-Insurance with Cocos: A Work in Progress

In: Global Credit Review

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  • George M. von Furstenberg

    (Department of Economics, Indiana University, Bloomington, USA)

Abstract

The following sections are included:INTRODUCTIONSection OutlineGOING-CONCERN VS. GONE-CONCERN COCOSTHE COCOS INSTRUMENT TO BE CONSIDEREDTHE COCOS ISSUERSMETHODS FOR COCOS CONVERSION AND REDISTRIBUTIONThe Distributionally Neutral “Fair Rule,” FR, the Benchmark for DilutionThe CS, CS-min, and LBG Conversion Methods Actually Used So FarRedistribution from Conversion under the Different MethodsAn Application of the Book-Value Based Fair Rule (FR) of ConversionCoping with the Reporting Lag under the Accounting-Based Fair RuleCOCOS UPDATES AND CALCULABILITYCOCOS AND DEBT OVERHANGWhy Issue Go-Cocos Rather than Common Equity?U.S. TAX ISSUES WITH COCOS?Tax Aspects of Debt Write-OffCOCOS IN CONVERTIBLE BOND INDEXES?CONCLUDING COMMENTS ON DATA AND FINANCING COST RELATIONSA First Harvest of Stylized FactsCDS-Pricing of CocosKey Findings and ConclusionsNOTESREFERENCES

Suggested Citation

  • George M. von Furstenberg, 2012. "Mega-Banks' Self-Insurance with Cocos: A Work in Progress," World Scientific Book Chapters, in: Risk Management Institute, Singapore (ed.), Global Credit Review, chapter 4, pages 53-77, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814412643_0004
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    1. Ceyla Pazarbasioglu & Ms. Jianping Zhou & Mrs. Vanessa Le Lesle & Michael Moore, 2011. "Contingent Capital: Economic Rationale and Design Features," IMF Staff Discussion Notes 2011/001, International Monetary Fund.
    2. Calomiris, Charles W. & Herring, Richard J., 2011. "Why and How to Design a Contingent Convetible Debt Requirement," Working Papers 11-41, University of Pennsylvania, Wharton School, Weiss Center.
    3. von Furstenberg, George M., 2011. "Contingent capital to strengthen the private safety net for financial institutions: Cocos to the rescue?," Discussion Paper Series 2: Banking and Financial Studies 2011,01, Deutsche Bundesbank.
    4. George M. von Furstenberg, 2011. "Concocting Marketable Cocos," Working Papers 222011, Hong Kong Institute for Monetary Research.
    5. Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2011. "Market risk premium used in 56 countries in 2011: A survey with 6,014 answers," IESE Research Papers D/920, IESE Business School.
    6. Berg, Tobias & Kaserer, Christoph, 2011. "Convert-to-Surrender Bonds: A Proposal of How to Reduce Risk-Taking Incentives in the Banking System," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48737, Verein für Socialpolitik / German Economic Association.
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    Cited by:

    1. George M. von Furstenberg, 2014. "Bank Heal Thyself: Benefits of Adding CoCos to the Balance Sheet," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 15(3), pages 65-71, August.
    2. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.
    3. George M. von Furstenberg, 2014. "Bank Heal Thyself: Benefits of Adding CoCos to the Balance Sheet," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 15(03), pages 65-71, August.

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    More about this item

    Keywords

    Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets; European Sovereign Crisis;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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