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

Abstract

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 ]

Authors

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

Topic Areas

Credit Risk , Capital Requirements

Session

PS » Poster Presentations (11:00 - Monday, 16th July)

Presentation Files

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