金融工程研究中心学术报告:Liquidity, debt overhang, and investment

报告人:陈南 教授,香港中文大学 系统工程和工程管理系

    2021.01.20(周三) 14:00-15:00

    :腾讯会议ID149 993 522

    

 We develop a theoretical model of dynamic investments, dividend payouts, debt borrowing, external equity financing, and bankruptcy for financially constrained firms. The model characterizes the central importance of liquidity management in corporate decision making in the presence of external financing costs. Mathematically, to solve for the recursive equilibrium of the problem, we formulate it as a double-obstacle problem with a fixed-point structure embedded. Our model can generate rich implications. Particularly, we find that the debt may yield two opposing effects to the firms investment decisions if it has limited liquidity. On one hand, debt issuance may enhance the size of current investment; on the other hand, debt may reduce the actual profit to the firm and causes severe overhang effects on the equity side of the firm. Our model characterizes quantitatively how these two effects, interacting with the cash management, will shape up the firms investment, financing, bankruptcy, and payout decisions.

报告人简介

Nan Chen is Professor of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. His research interests are quantitative methods in finance and risk management, Monte Carlo simulation, and applied probability. He has published in top journals and referred conference proceedings in the fields of operations research and quantitative finance, such as Review of Financial Studies, Journal of Econometrics, Operations Research, Mathematics of Operations Research, Mathematical Finance, Finance and Stochastics, Journal of Economic Dynamics and Control. The previous research topics included credit spread modeling, stochastic differential game in convertible security pricing, Monte Carlo methods in American option pricing and the related sensitivity analysis, simulation of stochastic differential equations, and exotic option pricing under jump diffusion models. Currently, he is mainly focusing on modeling of systemic contagion and liquidity risk, complex social and financial network, and Monte Carlo method in stochastic control and learning. Part of his research is supported by the scheme of General Research Fund, Hong Kong Research Grant Council.

 

Prof. Chen received his Ph.D. in operations research from Columbia University in 2006, and M.S. and B.S. in probability and statistics from Peking University, Beijing, China in 2001 and 1998, respectively. He was a second place price recipient of the Best Student Research Paper Award, Financial Services Section, INFORMS, 2006. He served as associate editor for Operations Research Letters from 2007-2008. He is now an associate editor of Mathematical Finance, International Review of Finance, Digital Finance and has chaired/been a member of the program committees of several international conferences on quantitative finance and Monte Carlo simulation. 

 

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