Crises challenge client XVA management because the prices of derivatives contain the XVA hedges that the provider requires, as well as the functional hedge the client requires. By functional hedge we mean the hedge linked to the client's business, e.g. FX, inflation, interest rate. By XVA hedge...

We consider a government that aims at reducing the debt-to-(gross domestic product) (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly observe the development of the underlying macroeconomic...

We analyze the determination of a value maximizing dividend policy for a broad class of cash flow processes modelled as spectrally negative jump diffusions. We extend previous results based on continuous diffusion models and characterize the value of the optimal dividend policy explicitly....

This paper proposes and solves an optimal dividend problem in which a two-state regimeswitching environment affects the dynamics of the company's cash surplus and, as a novel feature, also the bankruptcy level. The aim is to maximize the total expected profits from dividends until bankruptcy....

We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a...

Previous results on infinitely repeated agency do not allow income smoothing because it generates interdependence across time periods and private information for managers. Propositions 1-2 and Theorem show how to use dynamic programming to solve the agency problem. By using dynamic programming,...

Motivated by economic and empirical arguments, we consider a company whose cash reservoir is affected by macroeconomic conditions. Specifically, we model the cash reservoir as a Brownian motion with drift and volatility modulated by an observable continuous-time Markov chain that represents the...

Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities, they showed that the optimal strategy is either of the...

We study a combination of the refracted and reflected Levy processes. Given a spectrally negative Levy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a constant rate is subtracted from the increments of the...

We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends are paid periodically in real life, we study periodic dividend...