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Webinar “The Leland-Toft optimal capital structure model under Poisson observations”

The Working Group on Risk - CREAR, with the support of the IDS dpt , Institut des Actuaires, LabEx MME-DII and the group BFA-SFdS, has the pleasure to invite you to the seminar “The Leland-Toft optimal capital structure model under Poisson observations” by:
Prof. Zbigniew PALMOWSKI, Researcher in Applied Probability, Wroclaw University of Science and Technology, Poland

Friday September, 30 2022, 12:30 pm (CET)

Dual format
ESSEC Paris La Défense (CNIT), Room Amphi 236 and via Zoom, please click here

Topics
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.

 

Attending this webinar will enable you to acquire 6 points PPC CERA.

Vendredi 30 septembre 2022
12h30 (GMT +1)
ESSEC Paris La Défense (CNIT), Room Amphi 236
2 Pl. de la Défense
92800 Puteaux
L'événement est organisé en ligne
Intervenants
Zbigniew PALMOWSKI
Researcher in Applied Probability
Wroclaw University of Science and Technology, Poland

Prof. Zbigniew Palmowski is an internationally leading researcher in Applied Probability. He focuses in his research on solving theoretical questions regarding exit times of stochastic processes from some sets and applying these results in ruin theory, financial mathematics, optimisation and queuing theories. He works at Wrocław University of Science and Technology, Poland. He is an author over 100 publications. He has been the leading scientist on a number of Ministry of Science and Higher Education, National Science Centre grants in Poland as well as on 4 international grants. He has given numerous presentations at international conferences and invited seminars at universities across Europe, Asia, USA, Canada, Mexico, South America, Africa and Australia. He has supervised several PhD students. He was the Associate Editor of Stochastic Processes and their Applications, Journal of Applied Probability, Advances in Applied Probability and serves on editorial boards of European Actuarial Journal, Risks, Journal of Risk and Financial Management and Applicationes Mathematicae. In 2013, he derived from Polish Mathematical Society the Hugo Steinhaus Prize for series of papers concerning applications of Lévy processes theory in actuarial science. He has been a co-organizer of few conferences in Poland and abroad. Being a postdoc at Eurandom, Eindhoven (the Netherlands), he cooperated with Philips within the project PELICAN and with OCE Xerox Venlo. He also participated in a number of projects run with Polish banks and insurance companies.

Localisation

ESSEC Paris La Défense (CNIT), Room Amphi 236

2 Pl. de la Défense
92800 Puteaux

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Vendredi 30 septembre 2022
12h30 (GMT +1)
ESSEC Paris La Défense (CNIT), Room Amphi 236
2 Pl. de la Défense
92800 Puteaux
L'événement est organisé en ligne
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