Optimal securitization with moral hazard

• 成果类型: Article
• 署名作者: Hartman-Glaser, Barney; Piskorski, Tomasz; Tchistyi, Alexei
• 署名单位: University of California System; University of California Berkeley; Duke University; Columbia University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.12.007
• 发表日期: 2012
• 页码: 186-202
• 关键词: Security design; Mortgage backed securities; moral hazard

摘要

We consider the optimal design of mortgage-backed securities (MBS) in a dynamic setting in which a mortgage underwriter with limited liability can engage in costly hidden effort to screen borrowers and can sell loans to investors. We show that (i) the timing of payments to the underwriter is the key incentive mechanism, (ii) the maturity of the optimal contract can be short, and that (iii) bundling mortgages is efficient as it allows investors to learn about underwriter effort more quickly, an information enhancement effect. Finally, we demonstrate that the optimal contract can be closely approximated by the first loss piece. (C) 2012 Elsevier B.V. All rights reserved.