中图分类号:
F830
{{custom_clc.code}}
({{custom_clc.text}})
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
参考文献
[1] Basel Committee. Basel Ⅲ:Finalising post-crisis reforms[J]. Basel Committee on Banking Supervision, Basel, 2017.
[2] Flannery M J. No pain, no gain? Effecting market discipline via ‘reverse convertible debentures’[J]. Effecting Market Discipline Via ‘Reverse Convertible Debentures’, 2002.
[3] Glasserman P, Nouri B. Contingent capital with a capital-ratio trigger[J]. Management Science, 2012, 58(10):1816-1833.
[4] Mcdonald R L. Contingent capital with a dual price trigger[J]. Journal of Financial Stability, 2013, 9(2):230-241.
[5] Sundaresan S, Wang Z. On the design of contingent capital with a market trigger[J]. The Journal of Finance, 2015, 70(2):881-920.
[6] Glasserman P, Nouri B. Market-triggered changes in capital structure:Equilibrium price Dynamics[J]. Econometrica, 2016, 84(6):2113-2153.
[7] 秦学志, 胡友群, 石玉山. 含股权回售与赎回条款的或有可转债定价研究[J]. 管理科学学报, 2016, 19(7):102-114.Qin X Z, Hu Y Q, Shi Y S. Pricing of share-putable & callable CoCos[J]. Journal of Management Sciences in China, 2016, 19(7):102-114.
[8] Albul B, Jaffee D, Tchistyi A. Contingent convertible bonds and capital structure decisions[C]//Society for Economic Dynamics, 2013:382-388.
[9] Leland H E. Corporate debt value, bond covenants, and optimal capital structure[J]. The Journal of Finance, 1994, 49(4):1213-1252.
[10] Luo P, Yang Z. Real options and contingent convertibles with regime switching[J]. Journal of Economic Dynamics and Control, 2017, 75:122-135.
[11] Chen N, Glasserman P, Nouri B, et al. Contingent capital, tail risk, and debt-induced collapse[J]. The Review of Financial Studies, 2017, 30(11):3921-3969.
[12] Armantier O, Ghysels E, Sarkar A, et al. Discount window stigma during the 2007-2008 financial crisis[J]. Journal of Financial Economics, 2015, 118(2):317-335.
[13] Choi J. Credit risk model with lagged information[J]. Journal of Derivatives, 2008, 16(2):85-93.
[14] Guo X, Jarrow R A, Zeng Y. Credit risk models with incomplete information[J]. Mathematics of Operations Research, 2009, 34(2):320-332.
[15] 郁玉环. 基于公司治理视角的信息披露影响因素分析[J]. 数量经济技术经济研究, 2012(8):64-78.Yu Y H. Analysis on the influence factor of information disclosure from corporate governance perspective[J]. The Journal of Quantitative & Technical Economics, 2012(8):64-78.
[16] 吴建华, 王新军, 张颖. 企业信息披露滞后对债券违约风险影响的量化分析[J]. 金融经济学研究, 2014(6):17-28.Wu J H, Wang X J, Zhang Y. The quantitative analysis for the impact of corporate information disclosure lags on default risk of bonds[J]. Journal of Finance and Economics, 2014(6):17-28.
[17] Duffie D, Lando D. Term structures of credit spreads with incomplete accounting information[J]. Econometrica, 2001, 69(3):633-664.
[18] Giesecke K. Default and information[J]. Journal of Economic Dynamics and Control, 2006, 30(11):2281-2303.
[19] Lindset S, Lund A C, Persson S A. Credit risk and asymmetric information:A simplified approach[J]. Journal of Economic Dynamics and Control, 2014, 39:98-112.
[20] 庞素琳, 刘永清, 徐建闽,等. 基于信息不对称的银行信贷风险决策机制及分析(Ⅱ)——信贷风险决策机制[J]. 系统工程理论与实践, 2001, 21(5):80-83.Pang S L, Liu Y Q, Xu J M, et al. Credit risky decision mechanism and analysis for a bank based on information asymmetry(Ⅱ)——Credit risky decision mechanism[J]. Systems Engineering——Theory & Practice, 2001, 21(5):80-83.
[21] 孙庆文, 张琼琼, 仇静莉,等. 基于不同信息获取量的赊销决策风险度判别模型[J]. 系统工程理论与实践, 2012, 32(1):41-48.Sun Q W, Zhang Q Q, Chou J L, et al. Discrimination model of account sale decision-making risk degrees on the basis of different information acquisition degrees[J]. Systems Engineering——Theory & Practice, 2012, 32(1):41-48.
[22] 王宗润, 万源沅, 周艳菊. 隐性存款保险下银行信息披露与风险承担[J]. 管理科学学报, 2015, 18(4):84-97.Wang Z R, Wan Y Y, Zhou Y J. Relationship between bank information disclosure and bank risk-taking under implicit deposit insurance system[J]. Journal of Management Sciences in China, 2015, 18(4):84-97.
[23] 罗鹏飞, 杨招军, 张勇. 成熟型企业家的融资策略与道德风险及债务积压问题[J]. 系统工程理论与实践, 2017, 37(3):580-588.Luo P F, Yang Z J, Zhang Y. Financing policy, moral hazard and debt overhang with sophisticated entrepreneur[J]. Systems Engineering——Theory & Practice, 2017, 37(3):580-588.
[24] Kou S G. A jump-diffusion model for option pricing[J]. Management Science, 2002, 48(8):1086-1101.
[25] 郭桂霞, 沈婷. 或有资本的最优触发水平与转换比率——基于信息不对称的视角[J]. 浙江社会科学, 2015(11):21-29.Guo G X, Shen T. The optimal trigger level and conversion ratio of contingent capital:From the perspective of asymmetric information[J]. Zhejiang Social Sciences, 2015(11):21-29.
[26] Kou S G, Wang H. First passage times of a jump diffusion process[J]. Advances in Applied Probability, 2003, 35(2):504-531.
[27] Koziol C, Lawrenz J. Contingent convertibles. Solving or seeding the next banking crisis?[J]. Journal of Banking & Finance, 2012, 36(1):90-104.
[28] Musiela M, Rutkowski M. Martingale methods in financial modeling[M]. Berlin Heidelberg:Springer Verlag, 1997.
{{custom_fnGroup.title_cn}}
脚注
{{custom_fn.content}}
基金
国家自然科学基金(71801185);湘潭大学博士科研启动项目(KZ08069)
{{custom_fund}}