dc.contributor.author | Consiglio, Andrea | en |
dc.contributor.author | Zenios, Stavros A. | en |
dc.creator | Consiglio, Andrea | en |
dc.creator | Zenios, Stavros A. | en |
dc.date.accessioned | 2019-04-18T10:42:14Z | |
dc.date.available | 2019-04-18T10:42:14Z | |
dc.date.issued | 2015-11 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/46107 | en |
dc.description.abstract | We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign's creditworthiness breaching a distress threshold. This financial innovation limits ex-ante the likelihood of debt crises and imposes ex-post risk sharing between creditors and the debtor. Drawing from literature on contingent contracts, neglected risks, and bank CoCo, we extend prevailing arguments in favor of sovereign CoCo (S-CoCo). We discuss issues relating to their design: which market trigger, market discipline and sovereign incentives, and errors of false alarms or missed crises, and provide supporting evidence with eurozone data and a simple simulation on the use of S-CoCo. We develop a risk management model using these instruments to trade off the expected cost for sovereign financing over a long horizon, with tail risk. The model shows how contingent bonds can improve a country's debt risk profile. Using Greece as a case study the model illustrates improvements in expected cost vs tail risk for the country when using contingent debt. | en |
dc.format.extent | 32 | |
dc.language.iso | eng | en |
dc.publisher | The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA. | en |
dc.relation | info:eu-repo/grantAgreement/EC/H2020/655092/DebtRisks | |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Greece | * |
dc.rights | info:eu-repo/semantics/openAccess | en |
dc.rights | Open Access | en |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/gr/ | * |
dc.source | Journal of Globalization and Development | en |
dc.source.uri | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2694973 | |
dc.subject | Contingent debt | en |
dc.subject | Sovereign crises | en |
dc.subject | CDS spreads | en |
dc.subject | Debt restructuring | en |
dc.subject | Pricing | en |
dc.subject | Risk management | en |
dc.subject | Banking | en |
dc.title | Contingent convertible bonds for sovereign debt risk management | en |
dc.type | info:eu-repo/semantics/workingPaper | |
dc.identifier.doi | 10.2139/ssrn.2694973 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance | |
dc.type.uhtype | Working Paper | en |
dc.source.other | SSRN | en |
dc.contributor.orcid | Zenios, Stavros A. [0000-0001-7576-4898] | |
dc.contributor.orcid | Consiglio, Andrea [0000-0003-1654-9172] | |
dc.gnosis.orcid | 0000-0001-7576-4898 | |
dc.gnosis.orcid | 0000-0003-1654-9172 | |