The Impact of Contingent Convertible Bond Issuance on Bank
Credit Risk

D 2016

The Impact of Contingent Convertible Bond Issuance on Bank Credit Risk

DEEV, Oleg a Vlad MOROSAN

Základní údaje

Originální název

The Impact of Contingent Convertible Bond Issuance on Bank Credit Risk

Autoři

DEEV, Oleg a Vlad MOROSAN

Vydání

Brno, European Financial Systems 2016. Proceedings of the 13th International Scientific Conference, od s. 102-110, 9 s. 2016

Nakladatel

Masaryk University

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Odkazy

URL

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/16:00091075

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-8308-0

UT WoS

000385692200013

Klíčová slova anglicky

contingent convertible bonds; event study; CDS prices; bank credit risk

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 10. 11. 2016 12:52, Oleg Deev, Ph.D.

Anotace

V originále

Contingent convertible bonds are designed to provide additional capital to banks in times of distress and discourage the risk-taking incentives of the stockholders and, hence, decrease bank credit risk. In this paper, we study bank CDS spreads as a proxy of credit risk during the periods around the announcement of contingent convertible bond issuance. We analyze whether investors see these bonds as signs of possible bank distress or the stabilizing mechanism decreasing the probability of bank default. We use event study methodology where abnormal CDS spreads are identified based on constant mean return model and basic market model. Our data sample consists of 41 banks with 109 current unique issues taken from Bloomberg. Our results indicate that CDS spreads show a systemic reaction to the announcement of contingent convertible instruments and are economically significant for the bond holders that value the decreased default probability and reduced risk incentives of the issuing institution.

Návaznosti

MUNI/A/1025/2015, interní kód MU

Název: Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému (Akronym: FinStabilita)

Investor: Masarykova univerzita, Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

DEEV, Oleg a Vlad MOROSAN. The Impact of Contingent Convertible Bond Issuance on Bank Credit Risk. In European Financial Systems 2016. Proceedings of the 13th International Scientific Conference. Brno: Masaryk University, 2016, s. 102-110. ISBN 978-80-210-8308-0.

@inproceedings{1355939,
   author = {Deev, Oleg and Morosan, Vlad},
   address = {Brno},
   booktitle = {European Financial Systems 2016. Proceedings of the 13th International Scientific Conference},
   keywords = {contingent convertible bonds; event study; CDS prices; bank credit risk},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Brno},
   isbn = {978-80-210-8308-0},
   pages = {102-110},
   publisher = {Masaryk University},
   title = {The Impact of Contingent Convertible Bond Issuance on Bank Credit Risk},
   url = {http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_september_2.pdf},
   year = {2016}
}

TY  - CONF
ID  - 1355939
AU  - Deev, Oleg - Morosan, Vlad
PY  - 2016
TI  - The Impact of Contingent Convertible Bond Issuance on Bank Credit Risk
PB  - Masaryk University
CY  - Brno
SN  - 9788021083080
KW  - contingent convertible bonds
KW  - event study
KW  - CDS prices
KW  - bank credit risk
UR  - http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_september_2.pdf
L2  - http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_september_2.pdf
N2  - Contingent convertible bonds are designed to provide additional capital to banks in times of distress and discourage the risk-taking incentives of the stockholders and, hence, decrease bank credit risk. In this paper, we study bank CDS spreads as a proxy of credit risk during the periods around the announcement of contingent convertible bond issuance. We analyze whether investors see these bonds as signs of possible bank distress or the stabilizing mechanism decreasing the probability of bank default. We use event study methodology where abnormal CDS spreads are identified based on constant mean return model and basic market model. Our data sample consists of 41 banks with 109 current unique issues taken from Bloomberg. Our results indicate that CDS spreads show a systemic reaction to the announcement of contingent convertible instruments and are economically significant for the bond holders that value the decreased default probability and reduced risk incentives of the issuing institution.
ER  -

DEEV, Oleg a Vlad MOROSAN. The Impact of Contingent Convertible Bond Issuance on Bank Credit Risk. In \textit{European Financial Systems 2016. Proceedings of the 13th International Scientific Conference}. Brno: Masaryk University, 2016, s.~102-110. ISBN~978-80-210-8308-0.

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