Securitization and optimal retention under moral hazard

DOI10.1016/J.JMATECO.2014.10.003zbMath1304.91222OpenAlexW3124727666MaRDI QIDQ478121

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

zbMATH Keywords

principal-agent modelmoral hazardsecuritizationcredit enhancementoptimal retentiontranching

Mathematics Subject Classification ID

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

Related Items (3)

Unobservable costly effort in security design ⋮ Research on cooperation strategy of enterprises' quality and safety in food supply chain ⋮ Multidimensional skin in the game

Cites Work

• The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
• The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis^*
• A Liquidity-based Model of Security Design
• Security Design, Insider Monitoring, and Financial Market Equilibrium

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