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Optimal securitization with moral hazard
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DOI：10.1016/j.jfineco.2011.12.007.png)
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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.
Keyword:
Security design
Mortgage backed securities
Moral hazard
期刊
IF:
12
论文数:
3.8K
被引数:
5.5W
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分享收藏Optimal security design and dynamic capital structure in a continuous-time agency model.png)
JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
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