A multistage linear stochastic programming model for optimal corporate debt management

作者：Valladao Davi M^*; Veiga Alvaro; Veiga Geraldo

来源：European Journal of Operational Research, 2014, 237(1): 303-311.

DOI：10.1016/j.ejor.2014.01.028

• Risk management
• Finance
• Corporate bond issuance
• Debt management
• Stochastic programming

Large corporations fund their capital and operational expenses by issuing bonds with a variety of indexations, denominations, maturities and amortization schedules. We propose a multistage linear stochastic programming model that optimizes bond issuance by minimizing the mean funding cost while keeping leverage under control and insolvency risk at an acceptable level. The funding requirements are determined by a fixed investment schedule with uncertain cash flows. Candidate bonds are described in a detailed and realistic manner. A specific scenario tree structure guarantees computational tractability even for long horizon problems. Based on a simplified example, we present a sensitivity analysis of the first stage solution and the stochastic efficient frontier of the mean-risk trade-off. A realistic exercise stresses the importance of controlling leverage. Based on the proposed model, a financial planning tool has been implemented and deployed for Brazilian oil company Petrobras.

• 出版日期2014-8-16