Workshop on Stochastic Processes and Applications

Salah satu dosen muda SBM mendapat kehormatan sebagai invited speaker di ajang konferensi internasional. Budhi Arta Surya, Ph.D membawakan makalahnya yang bertajuk : Toward a Generalization of Leland-Toft Optimal Capital Structure Model dalam Workshop on Stochastic Processes and Applications yang kali ini diselenggarakan di Taipei, Taiwan pada tanggal 8-9 Maret 2012 yang lalu.

Salah satu dosen muda SBM mendapat kehormatan sebagai invited speaker di ajang konferensi internasional. Budhi Arta Surya, Ph.D membawakan makalahnya yang bertajuk : Toward a Generalization of Leland-Toft Optimal Capital Structure Model dalam Workshop on Stochastic Processes and Applications yang kali ini diselenggarakan di Taipei, Taiwan pada tanggal 8-9 Maret 2012 yang lalu.

Toward a Generalization of Leland-Toft Optimal

Capital Structure Model

Budhi Arta Surya and Kazutoshi Yamazaki (Osaka University)

Bandung Institue of Technology, Indonesia

budhi.surya@sbm-itb.ac.id

Abstract

The optimal capital structure model with endogenous bankruptcy was ?rst studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy model by Hilberink and Rogers (2002) and Kyprianou and Surya (2007).

This paper generalizes the problem by allowing the values of bankruptcy costs, coupon rates and tax bene?ts dependent on the ?rm?s asset value. By using the ?uctuation identities for the spectrally negative Levy process, we obtain a candidate bankruptcy level as well as a su?cient condition for optimality. The optimality holds in particular when, monotonically in the asset value, the coupon rate is decreasing, the value of tax bene?ts is increasing, the loss amount at bankruptcy is increasing,

and its proportion relative to the asset value is decreasing. The solution admits a semi-explicit form, and this allows for instant computation of the optimal bankruptcy levels, equity/debt values and optimal leverage ratios.

Berita ini diambil dari:

http://math.cts.nthu.edu.tw/Mathematics/2012SPA.htm

 

Toward a Generalization of Leland-Toft Optimal

Capital Structure Model

Budhi Arta Surya and Kazutoshi Yamazaki (Osaka University)

Bandung Institue of Technology, Indonesia

budhi.surya@sbm-itb.ac.id

Abstract

The optimal capital structure model with endogenous bankruptcy was ?rst studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy model by Hilberink and Rogers (2002) and Kyprianou and Surya (2007).

This paper generalizes the problem by allowing the values of bankruptcy costs, coupon rates and tax bene?ts dependent on the ?rm?s asset value. By using the ?uctuation identities for the spectrally negative Levy process, we obtain a candidate bankruptcy level as well as a su?cient condition for optimality. The optimality holds in particular when, monotonically in the asset value, the coupon rate is decreasing, the value of tax bene?ts is increasing, the loss amount at bankruptcy is increasing,

and its proportion relative to the asset value is decreasing. The solution admits a semi-explicit form, and this allows for instant computation of the optimal bankruptcy levels, equity/debt values and optimal leverage ratios.

Berita ini diambil dari:

http://math.cts.nthu.edu.tw/Mathematics/2012SPA.htm