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大鹏 · 2024年04月01日

这是哪个知识点啊

NO.PZ2024032003000018

问题如下:

Which of the following statement(s) is(are) lesson(s) from the Credit Suisse CoCo Event?

Statement1:Unclear distinction between going-concern and gone-concern CoCos lead to confusion and uncertainty.

Statement2:The presence of both automatic and discretionary triggers has introduced complexity and regulatory uncertainty, making it difficult to predict the activation of CoCo bonds.

选项:

A.

Statement1

B.

Statement2

C.

Both statement1 and statement 2

D.

None of above

解释:

The distinction between going-concern and gone-concern CoCos was unclear, creating confusion and uncertainty.The existence of both automatic and discretionary triggers added complexity and regulatory ambiguity, complicating the prediction of CoCo activation.

谢谢

1 个答案

李坏_品职助教 · 2024年04月01日

嗨,爱思考的PZer你好:


题目问的是,在Credit Suisse CoCo Event这个案例中,可以得出什么教训?

老师在下面这个视频(Market Reactions and lessons from cocos write down)有讲解:


  1. 关于COCO债券可以在Section9里面找到相应的概念说明。Cocos债券是在going-concern(正常持续经营时)发行的,却拿来应对gone-concern(金融危机)时期的银行的危机,这个在结构上是混乱的。
  2. 触发机制(triggers)既有自动的机制也有主观的机制,这样会让Coco债券是否触发变得很复杂,难以预判。


主要就是这两条教训,正好对应statement1和2.


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