Welcome back to the WG Risk! The seminars will still take place in a dual format: we will have the great pleasure to host our invited speakers at La Défense (CNIT - ESSEC) as well as the participants who wish to attend the seminars there; we will also use the online format (via zoom) so that our 'non-Parisian' colleagues can participate wherever they are.
The program of the 1st term is online, so that you can already reserve the dates.
We have the pleasure thanks to the support of the ESSEC IDS dpt, Institut des Actuaires, LabEx MME-DII, the group BFA (SFdS), to invite you to the seminar by:
Prof. Zbigniew PALMOWSKI
Researcher in Applied Probability
Wroclaw University of Science and Technology, Poland
: Friday, September 30 at 12:30 pm (Paris) and 6:30 pm (Singapore)
format: ESSEC Paris La Défense (CNIT)
, Room Amphi 236, and via Zoom
, please click here
(Password/Code : WGRisk
« The Leland-Toft optimal capital structure model under Poisson observations »
During this talk we will revisit the optimal capital structure model with endogenous bankruptcy, first studied by Leland (1994) and Leland and Toft (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 the spectrally negative Lévy model, we obtain the optimal bankruptcy strategy and the corresponding capital structure. A series of numerical studies enable analysis of the sensitivity of observation frequency in the optimal solutions, optimal leverage and credit spreads. This talk is based on joint work with J.L. Pérez, B. Surya and K. Yamazaki.Kind regards,
Jeremy Heng, Olga Klopp and Marie Kratz
and Riada Djebbar (Singapore Actuarial Society - ERM)