Write-Down Bonds and Bank Capital Structure
主 题: Write-Down Bonds and Bank Capital Structure
报告人: Prof. Ping Li (School of Economics and Management, Beihang University)
时 间: 2016-12-15 14:30-15:30
地 点: 理科1号楼 1493
We develop a model of optimal bank capital structure that incorporates deposits, subordinated debt, Write-Down (WD) bond and equity. WD bond's principal write-down, bank run, regulatory closure and bankruptcy are triggered if the bank’s asset value hits specific barriers. Value-maximizing banks choose the ratio of deposits to subordinated debt and WD debt so that endogenous default coincides with bank closure. The bank increases its leverage by swapping both deposits and subordinated debt for WD bonds. However, the issuance of WD bonds not only reduces expected bankruptcy loss and credit spread of subordinated debt, but also improves bank value. Banks' optimal response to regulatory changes often counteracts regulators' objective in reducing bank failures. Write-down ratio does not affect bank value, deposit ratio, credit spread of subordinated debt and bank leverage in our model. And higher write-down ratio causes lower WD debt ratio, higher credit spread of WD debt and higher subordinated debt ratio. Write-down trigger parameter does not influence deposit ratio, subordinated debt ratio and credit spread of subordinated debt. Interestingly, it just has slightly influence on bank value. 报告人介绍: 李平，女，博士，教授，博导。北京航空航天大学经管公司金融系教授，中国金融系统工程专业委员会副秘书长，首创集团金融管理部副总经理（挂职）。博士毕业于中国科公司数学与系统科学研究院应用数学研究所，随后在该院系统科学研究所做博士后。先后在美国哥伦比亚大学工业工程与运筹系、美国南卡罗来纳大学商公司金融系、香港中文大学工业工程与运筹系、奥地利维也纳技术大学金融数学与保险系做访问研究。主要研究方向包括金融衍生产品定价、金融风险管理、信用风险、公司债券、投资组合分析等；先后主持了四项国家自然科学基金项目、参与了国家973项目和国家自然科学基金重点项目等；在国内外重要学术期刊如European Financial Management、Finance Research Letters、Annals of Economics and Finance、Optimization、Theoretical Computer Science、《管理科学学报》、《系统工程理论与实践》、《系统工程学报》等发表论文50余篇。协助成思危先生出版专著3部。
