Quantifying the Social Benefit of Bail-In Measures using Option-Pricing Techniques


The paper considers a simple continuous-time model of the banking firm in which the social benefit of bail-in measures such as contingent convertibles is approximated as the resulting reduction in the fair contribution to a... [ view full abstract ]


  1. Alina-Nicoleta Radu (Bucharest University of Economic Studies)

Topic Areas

Credit Risk , Capital Requirements


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