Dynamic capital structure and the contingent capital option

DOI10.1007/s10436-012-0188-zzbMath1298.91181OpenAlexW3123137735MaRDI QIDQ470666

Luca Del Viva, Emilio Basrucci

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-012-0188-z

zbMATH Keywords

leveragebankruptcy costscallable contingent capitalconvertible contingent capitaldynamic capital structure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (7)

How do capital structure and economic regime affect fair prices of bank's equity and liabilities? ⋮ A structural framework for modelling contingent capital ⋮ Pricing contingent convertibles with idiosyncratic risk ⋮ Business cycles, financial cycles and capital structure ⋮ Optimization of capital structure in real estate enterprises ⋮ Valuation and analysis of zero-coupon contingent capital bonds ⋮ Chinese write-down bonds and bank capital structure

Cites Work

• Switching to a poor business activity: optimal capital structure, agency costs and covenant rules
• An Integrated Model for Hybrid Securities
• Credit risk: Modelling, valuation and hedging

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