Securitization and optimal retention under moral hazard

DOI10.1016/J.JMATECO.2014.10.003zbMATH Open1304.91222OpenAlexW3124727666MaRDI QIDQ478121FDOQ478121

Authors: Sara Malekan, Georges Dionne 

Publication date: 3 December 2014

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2014.10.003

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zbMATH Keywords

moral hazardsecuritizationcredit enhancementoptimal retentionprincipal-agent modeltranching

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Heterogeneous agent models (91B69)

Cites Work

• The consequences of mortgage credit expansion: evidence from the U.S. mortgage default crisis
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
• A Liquidity-based Model of Security Design
• Security Design, Insider Monitoring, and Financial Market Equilibrium

Cited In (8)

• Research on cooperation strategy of enterprises' quality and safety in food supply chain
• Unobservable costly effort in security design
• Credit contracts, moral hazard, and the role of credit securities
• Securitization and lending competition
• Multidimensional skin in the game
• Optimal tranching with diverse beliefs
• Securitization and Compensation in Financial Institutions*
• Basel III and asset securitization

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