或有可转债对银行资本结构及其价值的影响——基于触发点差异的研究  

Impact of Contingent Convertible Bonds on the Bank's Capital Structure and Value:An Investigation based on Difference of Trigger Points

作　　者：秦学志[1] 胡友群[1] 李静一[1,2] 

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024 [2]中国民生银行零售管理部,北京100031

出　　处：《系统管理学报》2014年第2期191-199,共9页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71171032;71101015);中央高校基本科研业务费科研专题项目(DUT11RW202);留学回国人员科研启动基金(第43批)

摘　　要：以债转股概率刻画或有可转债(Contingent Convertible Bonds,CoCos)的触发点,建立了一个基于不同触发点CoCos的银行最优资本结构模型,内生地获得了用CoCos替代直接债务融资时的最优股权价值、银行价值、最优投资风险和最优债务融资额,弥补了CoCos相关研究较少考虑最优资本结构和融资限制问题的不足。模型分析和模拟结果表明:①CoCos替代直接债务融资会导致银行最优杆杠率和投资风险的增加,且当触发点处于最高水平时达到最大;②CoCos替代直接债务融资使最优股权价值增加,但若债转股概率过高,债权价值可能会大幅减少,从而损害银行价值。We establish an optimal capital structure model of banks based on contingent convertible bonds （CoCos for short） with different trigger points, by using the bond-to-equity conversion probability to depict the trigger points, and obtain endogenously the optimal equity value, bank value, optimal investment risk and optimal debt financing volume while contingent convertible bonds replace straight debt financing. This complements the studies on optimal capital structure and financing limit problem in the literature on contingent convertible bonds. Results of model analysis and simulation show that.. （1） That CoCos replace straight debt financing will cause the optimal leverage ratio and investment risk of banks increase, and even reach the maximum if the trigger point is at the highest level; （2） That CoCos replace straight debt financing will cause the optimal equity value increase greatly, but if the bond-to-equity conversion probability is too high, the debt value may more greatly decrease, and the bank value will be harmed eventually.

关 键 词：或有可转债 最优资本结构 股权价值 破产成本 

分 类 号：F830.45[经济管理—金融学]