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摘要翻译：
内生破产的最优资本结构模型首先由Leland(1994)、Leland和Toft(1996)研究，后来由Hilberink和Rogers(2002)、Kyprianou和Surya(2007)推广到谱负Levy模型。本文通过允许破产成本和税收利益的价值依赖于企业的资产价值来考虑规模效应。利用谱负Levy过程的波动恒等式，我们得到了一个候选破产水平以及最优性的充分条件。特别是当资产价值单调增加时，税收优惠的价值增加，破产损失额增加，其相对于资产价值的比例减少时，最优性成立。该解具有尺度函数的半显式形式。通过一系列的数值研究，分析了规模效应对违约策略和最优资本结构的影响。
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英文标题：
《Optimal Capital Structure with Scale Effects under Spectrally Negative
Levy Models》
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作者：
Budhi Arta Surya and Kazutoshi Yamazaki
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最新提交年份：
2013
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
The optimal capital structure model with endogenous bankruptcy was first 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 incorporates the scale effects by allowing the values of bankruptcy costs and tax benefits to be dependent on the firm's asset value. By using the fluctuation identities for the spectrally negative Levy process, we obtain a candidate bankruptcy level as well as a sufficient condition for optimality. The optimality holds in particular when, monotonically in the asset value, the value of tax benefits 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 in terms of the scale function. A series of numerical studies are given to analyze the impacts of scale effects on the default strategy and the optimal capital structure.
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PDF链接：
https://arxiv.org/pdf/1109.0897
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