The Leland–Toft optimal capital structure model under Poisson observations
The Leland–Toft optimal capital structure model under Poisson observations
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DOI：
10.1007/s00780-020-00431-6
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发表时间：
2019-04
影响因子：
1.7
通讯作者：
Z. Palmowski;José-Luis Pérez;B. Surya;K. Yamazaki
中科院分区：
文献类型：
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作者：
Z. Palmowski;José-Luis Pérez;B. Surya;K. Yamazaki
本文重新审视了Leland （J. Finance, 1994）和Leland and Toft （J. Finance, 1996）首先研究的具有内生破产的最优资本结构模型。与股东持续观察资产价值和立即执行破产的标准情况不同，假设资产价值信息在独立泊松过程的跳跃时间定期更新。在谱负的lsamvy模型下，我们得到了最优破产策略和相应的资本结构。一系列数值研究提供了对最优策略、最优杠杆和信用利差的敏感性分析，这些敏感性与观测频率有关。
This paper revisits the optimal capital structure model with endogenous bankruptcy, first studied by Leland (J. Finance 49:1213–1252, 1994) and Leland and Toft (J. Finance 51:987–1019, 1996). Unlike in the standard case where shareholders continuously observe the asset value and bankruptcy is executed instantaneously without delay, the information of the asset value is assumed to be updated periodically at the jump times of an independent Poisson process. Under a spectrally negative Lévy model, we obtain the optimal bankruptcy strategy and the corresponding capital structure. A series of numerical studies provide an analysis of the sensitivity, with respect to the observation frequency, of the optimal strategies, optimal leverage and credit spreads.