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Thesis

Contingent capital: a theoretical and empirical analysis

Abstract:

This thesis is about the design of contingent capital (CoCos) to induce monitoring and to therefore reduce the expected size of taxpayer funded bailouts. CoCos are debt instruments that either convert into debt or are written down when a bank approaches distress—based on a reduction in the bank's capital.

The thesis begins with a moral hazard model that provides a stylised illustration of the circumstances where either shareholders or CoCo investors can be induced to monitor. It pre...

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Department:
University of Oxford

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Role:
Supervisor
Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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