Title of article :
Optimal securitization with moral hazard
Author/Authors :
Hartman-Glaser، نويسنده , , Barney and Piskorski، نويسنده , , Tomasz and Tchistyi، نويسنده , , Alexei، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
Pages :
17
From page :
186
To page :
202
Abstract :
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.”
Keywords :
Security design , Moral hazard , Mortgage backed securities
Journal title :
Journal of Financial Economics
Serial Year :
2012
Journal title :
Journal of Financial Economics
Record number :
2212348
Link To Document :
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