systemic banks. First, a Distance-to-Default type measure relates a bank's default risk to its capital requirements. Second, a …

always observe all relevant firm information. But all Cocos issued sofar have triggers based on accounting ratios and … the issuing bank and their implications for risk taking and investment incentives. Finally, we use our model to explain … the crash in coco prices after Deutsche Bank's profit warning February 2016. …

We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our … sovereign debt discount. We introduce long term government debt, which gives rise to the possibility of capital losses on bank … long term (government) debt. The associated increase in credit tightness leads to a negative amplification effect …

We use a classic Merton credit risk framework to argue that Islamic Banking Institutions (IBIs) face less incentive to …