或有可轉換債券能抑止金融機構經理人追求過度風險嗎？

Abstract

本文旨在使用蒙地卡羅模擬法，探討將或有可轉換債券（CCB，Contingent Convertible Bond）納入金融機構資本結構及高階經理人薪酬計劃中，對金融機構資產風險程度的影響。研究結果顯示，納入規模為佔總資產10%的或有可轉換債券至資本結構中，即可大幅降低金融機構違約機率。而在發行或有可轉換債券之情形下，經理人薪酬計劃除普通股以外，不需要加入或有可轉換債券，就能比未發行或有可轉換債券之金融機構提供更多誘因，使經理人選擇較穩健的經營策略。

The purpose of this study is to examine the effects on the risk level of financial institutions, when adding Contingent Convertible Bonds (CCB) into the capital structure or managers’ compensation plans. The results show that default possibilities are significantly lowered by including CCB into the capital structure, with the sale which accounts for 10% of the total assets. Compared to those without CCB, financial institutions that issue CCB provides stronger incentives to induce managers to choose a steadier strategy, while the compensation plans contain only common stocks.