Calice Giovanni, Sala Carlo, Tantari Daniele
Bangor Business School, Bangor University, Bangor, LL57 2DG, UK.
Department of Economics, Finance and Accounting, ESADE Business School (Ramon Llull University), Avenida de Torreblanca 59, Barcelona, Spain.
Sci Rep. 2023 Dec 15;13(1):22337. doi: 10.1038/s41598-023-48228-9.
We study the role of contingent convertible bonds (CoCos) in a complex network of interconnected banks. By studying the system's phase transitions, we reveal that the structure of the interbank network is of fundamental importance for the effectiveness of CoCos as a financial stability enhancing mechanism. Our results show that, under some network structures, the presence of CoCos can increase (and not reduce) financial fragility, because of the occurring of unneeded triggers and consequential suboptimal conversions that damage CoCos investors. We also demonstrate that, in the presence of a moderate financial shock, lightly interconnected financial networks are more robust than highly interconnected networks. This makes them a potentially optimal choice for both CoCos issuers and buyers.
我们研究或有可转换债券（CoCos）在相互关联银行的复杂网络中的作用。通过研究该系统的相变，我们发现银行间网络的结构对于CoCos作为增强金融稳定性机制的有效性至关重要。我们的结果表明，在某些网络结构下，CoCos的存在可能会增加（而非降低）金融脆弱性，因为会出现不必要的触发以及损害CoCos投资者的相应次优转换。我们还证明，在存在适度金融冲击的情况下，轻度互联的金融网络比高度互联的网络更具韧性。这使其对CoCos发行人和买家而言都可能是一个最佳选择。
