二级资本债与薪酬设计.docxVIP

二级资本债与薪酬设计 谭英贤杨招军罗鹏飞 暨南大学经济学院南方科技大学商学院湖南大学 金融与统计学院 摘要： 2014年以來我国几乎所有银行都发行了可减记的二级资本债，直观上这一新型 或有资本显著提高了薪酬结构为固定工资加股权激励的管理者的冒险动机。为此, 本文提出在管理者薪酬结构中引入或有现金收入的新举措，分析了二级资本债 和或有现金薪酬对管理者冒险动机、公司价值以及破产概率的影响。利用风险中 性定价方法给出了二级资本债和管理者薪酬定价的显式解。数量分析表明:发行 二级资本债可以通过减少破产概率而增加公司价值，但同时显著提高了管理者 的冒险动机。而或有现金薪酬设计有效抑制了这一动机。不仅银行股东可以选择 管理者或有现金收入和股权激励来调节管理者的冒险动机，而且银行监管机构 可以通过调节减记触发水平来控制银行系统风险。 关键词： 二级资本债券;或有现金收入;薪酬设计;冒险动机;破产概率; 作者简介：杨招军（1964-），男（汉族），湖南邵阳人，南方科技大学商学院， 副教授，博士生导师，研究方向：金融理论、金融工程， E-mai1:zjyang@hnu. edu. cn. 收稿日期:2014-12-18 基金：国家自然科学基金资助项冃 Write-down Contingent Capital and Managerial Compensation Design Department Finance, College of Economics, Jinan University; School of Business, Southern University of Science and Technology; School of Finance and Statistics, Hunan University; Abstract： Most of domestic banks have issued Write-down Contingcnt Capital Bonds (write-down CoCo bonds) . Intuitively, such a new contingent capital must induce a considerable adventure motivation of managers under the fixed wage and equity incentive compensation structure. To mitigate and even completely eliminate this ineentive, contingent cash compensation is taken as a managcr，s long-term inccntive fee and a new scheme of managerial contingent compensation is established. The effects of write-down CoCo bonds issuance and managerial contingent compensation design on manager risk-taking motivation are studied. The value of the issuing company, the ruin probability, bankruptcy cost, and the risk premium of the common bond. Closed-form solutions of the values of the write-down CoCo bonds and managerial wealth are obtained under a risk-neutral probability measure. By numerical simulations, it is found that write-down CoCo bonds increase the value of the issuing company by reducing their bankruptcy probabi 1 i ty, but enhance the memagersJ adventure moti vation. Tn contrast, the memagcrial contingent cash income can rostrain this motive. In addition, shareholders of the issuing company can ad