Optimal incentives and securitization of defaultable assets

• 成果类型: Article
• 署名作者: Malamud, Semyon; Rui, Huaxia; Whinston, Andrew
• 署名单位: Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.08.001
• 发表日期: 2013
• 页码: 111-135
• 关键词: Securitization; Mortgage-backed securities; Asset-backed securities; moral hazard; default risk

摘要

We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermediary. We calculate the optimal contract for any given effort level and show the natural emergence of extreme punishment for defaults, under which investors stop paying the intermediary after the first default. With securitization contracts optimally designed, we find securitization improves the intermediary's screening incentives. Furthermore, the equilibrium effort level and the surplus converge to their first best levels with sufficiently many assets. (C) 2012 Elsevier B.V. All rights reserved.