Stochastic optimal control with Contingent Convertible Bond in banking industry

Asma Khadimallah; Fathi Abid

Volume 2, Issue 2 , December 2022, , Pages 151-166

https://doi.org/10.22054/jmmf.2023.15190

Abstract
  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 leverage ...  Read More