風險管理與或有可轉換債券

Abstract

2008年金融風暴發生之後，混合型債券（或稱或有可轉換債券）受到相當多的關注。因為融合了普通債券和選擇權的特點，或有可轉換債券可以解決增資困難的問題，並同時降低公司的違約風險。但是我們發現發行或有可轉換債券可能會有負面的影響。利用或有可轉換債券進行融資時，公司的決策制定通常會傾向採取高風險的營運策略。此外，或有可轉換債券的兩個特點，包含轉換比例和轉換邊界，都是會影響公司決策的重要因素。因此，如何制定機制預防公司採行或有可轉換債券融資時所造成過度的風險承擔是一大重要課題，而本篇研究可提供未來在公司融資與治理方面權衡的參考。

After the financial crisis of 2008, contingent capital such as contingent convertible bond (CCBs) receives much attention. CCBs represent an important instrument to alleviate the difficulties of recapitalization as well as reduce the probability of default. However, we argue that contingent convertible bonds financing may have the opposite effect. CCBs always distort risk-taking incentives; that is, firm managers have incentive to take excess risk if the firm issues CCBs as a part of its debt. Moreover, the two characters, conversion ratio and conversion threshold of contingent convertible bonds, play a crucial role in the capital structure and optimal policy decisions. Therefore, finding a mechanism to prevent the risk-taking incentive imposed by contingent convertible bonds will be the major challenge and this study can provide a suggestion in corporate financing.