Documents disponibles écrits par cet auteur

Contingent capital with a capital-ratio trigger / Paul Glasserman in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1816-1833 Titre : Contingent capital with a capital-ratio trigger Type de document : texte imprimé Auteurs : Paul Glasserman, Auteur ; Behzad Nouri, Auteur Année de publication : 2012 Article en page(s) : pp. 1816-1833 Note générale : Management Langues : Anglais (eng) Mots-clés : Probability  Diffusion  Stochastic  model  applications  Finance  Asset  pricing Résumé : Contingent capital in the form of debt that converts to equity when a bank faces financial distress has been proposed as a mechanism to enhance financial stability and avoid costly government rescues. Specific proposals vary in their choice of conversion trigger and conversion mechanism. We analyze the case of contingent capital with a capital-ratio trigger and partial and ongoing conversion. The capital ratio we use is based on accounting or book values to approximate the regulatory ratios that determine capital requirements for banks. The conversion process is partial and ongoing in the sense that each time a bank's capital ratio reaches the minimum threshold, just enough debt is converted to equity to meet the capital requirement, so long as the contingent capital has not been depleted. We derive closed-form expressions for the market value of such securities when the firm's asset value is modeled as geometric Brownian motion, and from these we get formulas for the fair yield spread on the convertible debt. A key step in the analysis is an explicit expression for the fraction of equity held by the original shareholders and the fraction held by converted investors in the contingent capital. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1816.abstract [article] Contingent capital with a capital-ratio trigger [texte imprimé] / Paul Glasserman, Auteur ; Behzad Nouri, Auteur . - 2012 . - pp. 1816-1833. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1816-1833 Mots-clés : Probability  Diffusion  Stochastic  model  applications  Finance  Asset  pricing Résumé : Contingent capital in the form of debt that converts to equity when a bank faces financial distress has been proposed as a mechanism to enhance financial stability and avoid costly government rescues. Specific proposals vary in their choice of conversion trigger and conversion mechanism. We analyze the case of contingent capital with a capital-ratio trigger and partial and ongoing conversion. The capital ratio we use is based on accounting or book values to approximate the regulatory ratios that determine capital requirements for banks. The conversion process is partial and ongoing in the sense that each time a bank's capital ratio reaches the minimum threshold, just enough debt is converted to equity to meet the capital requirement, so long as the contingent capital has not been depleted. We derive closed-form expressions for the market value of such securities when the firm's asset value is modeled as geometric Brownian motion, and from these we get formulas for the fair yield spread on the convertible debt. A key step in the analysis is an explicit expression for the fraction of equity held by the original shareholders and the fraction held by converted investors in the contingent capital. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1816.abstract

Valuing the treasury's capital assistance program / Paul Glasserman in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1195-1211 Titre : Valuing the treasury's capital assistance program Type de document : texte imprimé Auteurs : Paul Glasserman, Auteur ; Zhenyu Wang, Auteur Année de publication : 2011 Article en page(s) : pp. 1195-1211 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance  Securities  Financial  institutions  Banks  Dynamic  programming  Applications Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The Capital Assistance Program (CAP) was created by the U.S. government in February 2009 to provide backup capital to large financial institutions unable to raise sufficient capital from private investors. Under the terms of the CAP, a participating bank receives contingent capital by issuing preferred shares to the Treasury combined with embedded options for both parties: The bank gets the option to redeem the shares or convert them to common equity, with conversion mandatory after seven years; the Treasury earns dividends on the preferred shares and gets warrants on the bank's common equity. We develop a contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures this strategic element of the joint valuation problem and clarifies the incentives it creates. We apply our method to the 18 publicly held bank holding companies that participated in the Supervisory Capital Assessment Program (the stress test) launched together with the CAP. On average, we estimate that compared to a market transaction, the CAP securities carry a net value of approximately 30% of the capital invested for a bank participating to the maximum extent allowed under the terms of the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal stock price returns for the stress test banks at the time the terms of the CAP were announced; we find correlations between 0.78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation aligns with shareholder perception of the value of the program, prompting questions about industry reactions and the overall impact of the program. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Valuing the treasury's capital assistance program [texte imprimé] / Paul Glasserman, Auteur ; Zhenyu Wang, Auteur . - 2011 . - pp. 1195-1211. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1195-1211 Mots-clés : Finance  Securities  Financial  institutions  Banks  Dynamic  programming  Applications Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The Capital Assistance Program (CAP) was created by the U.S. government in February 2009 to provide backup capital to large financial institutions unable to raise sufficient capital from private investors. Under the terms of the CAP, a participating bank receives contingent capital by issuing preferred shares to the Treasury combined with embedded options for both parties: The bank gets the option to redeem the shares or convert them to common equity, with conversion mandatory after seven years; the Treasury earns dividends on the preferred shares and gets warrants on the bank's common equity. We develop a contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures this strategic element of the joint valuation problem and clarifies the incentives it creates. We apply our method to the 18 publicly held bank holding companies that participated in the Supervisory Capital Assessment Program (the stress test) launched together with the CAP. On average, we estimate that compared to a market transaction, the CAP securities carry a net value of approximately 30% of the capital invested for a bank participating to the maximum extent allowed under the terms of the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal stock price returns for the stress test banks at the time the terms of the CAP were announced; we find correlations between 0.78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation aligns with shareholder perception of the value of the program, prompting questions about industry reactions and the overall impact of the program. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc