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.

本文回顾了具有内生性破产的最优资本结构模型，该模型首先由Leland（J. Finance 49：1213–1252，1994）和Leland and Toft（J. Finance 51：987-1019，1996）研究。与标准情况下的股东不断观察资产价值并且立即执行破产而没有延迟的标准情况不同，资产价值信息被假定为在独立的Poisson过程的跳跃时间定期更新。在频谱负的Lévy模型下，我们获得了最佳破产策略和相应的资本结构。一系列数值研究对最佳策略，最佳杠杆和信用利差的观察频率敏感性进行了分析。