或有资本、资产抛售与银行信用风险

Contingent Capital, Fire Sales, and Bank Credit Risk

本文通过构建一个简单的多期模型,探讨或有资本对于降低银行信用风险、减少资产抛售量和增强市场稳定性的作用。我们发现:通过事先持有或有资本,银行能够有效地降低自身的信用风险,并在一定条件下减少银行资产的抛售量,实现稳定金融市场的目的。我们首先分析了当资产价格外生给定时,拥有不同资本结构的银行发生信用风险的条件;以及,当银行拥有或有资本时,其选择不同资本补充方式(选择抛售资产还是触发或有资本转换)的条件。然后,我们通过引入资产市场将资产价格内生化,发现之前得到的绝大部分结果仍然成立,证明了本文理论分析结果的稳健性。

In this paper, we build a simple multi-period model to investigate the effects of contingent capital on bank`s credit risk, fire sales of bank assets and the stability of financial market. We find that holding contingent capital can effectively lower the possibility of bankruptcy of the bank, and under certain conditions reduce asset sales. We first assume that the asset price is exogenously given, and identify the condition of occurrence of credit risk for the bank with different capital structure, when the asset value collapses. Besides, we analyze how the bank chooses to recapitalize, from selling assets or triggering the contingent capital, when the bank holds the contingent capital. Then, we endogenize the asset price by introducing the asset market, and find that most of the results in the previous analysis can still hold, which demonstrates the robustness of our results.