Stochastic optimal control with Contingent Convertible Bond in banking industry
This paper has potential implications for the management of the bank. We examine a bank capital structure with contingent convertible debt to improve financial stability. This type of debt converts to equity when the bank is facing financial difficulties and a conversion trigger occurs. We use a lev...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2022-12-01
|
| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_15190_d0c3cc7815d35a69718c097a3e4dfc0d.pdf |