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精算论坛第140期讲座-李平(6月5日)

报告题目：Write-Down Bonds and Bank Capital Structure

报告时间：2018年6月5日(周二)上午10:30—11:30

报告人：

     Ping Li is Professor of Finance at BeihangUniversity (the former Beijing University of Aeronautics and Astronautics). Shereceived her Ph.D. in Probability and Statistics from the Institute of AppliedMathematics at Chinese Academy of Sciences in May 2000, then she held apostdoctoral research fellow in the Institute of System Sciences also atChinese Academy of Sciences from May 2000 - May 2002 before she joined BeihangUniversity in May 2002.  At Beihang University, she was promoted to associateprofessor in May 2002 and to full professor in July 2012.    

Her expertise centers on financial derivative pricing,credit risk, and quantitative risk management. Together with her coauthors shehas published nearly 50 papers, most of which appear in journals in finance,management and mathematics, such as European Financial Management, FinanceResearch Letters, Annals of Economics and Finance, Optimization, andTheoretical Computer Science, etc.  Her research has been supported by anumber of external grants, including four from the NSFC (Natural ScienceFoundation of China).

摘要：

In this paper weuse the structural model to investigate the bank capital structure thatcontains deposit, straight bond, Write-Down (WD) bond and equity. We firstexplicitly give the default boundaries and the values of deposit, straightbond, WD bond, equity and bank asset, then use a numerical example todemonstrate the relation among leverage, deposit, WD bond, and bank value. Ourresults show that value-maximizing banks select the ratio of deposit, straightbond and WD debt so that endogenous default is consistent with exogenous bankclosure. The bank increases its leverage by swapping both deposits and straightbond for WD bonds. And the issuance of WD bonds not only reduces the expectedbankruptcy loss and credit spread of straight bond, but also improves the bankvalue. This indicates that WD bond does help to stabilize banks. We also studythe role of deposit insurance and Chinese Financial Stability Bureau (FSB), andgives the closed-form expression of fair insurance premium. Lastly, to checkthe robustness of our results, we do the sensitivity analysis and investigatethe effect of exogenous parameters on bank capital structure: WD parameters,bank business features, closure rules and insurance subsidy, and obtain somepractically significant implications.

报告地点：中央财经大学学术会堂南楼506（精算院会议室）

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