Bank monitoring incentives under moral hazard and adverse selection

2017-10-19

Bank monitoring incentives under moral hazard and adverse selection    


报告人: 周超 新加坡国立大学 时间:2017114日(星期六), 9:00-10:00


地点: 数学院第四报告厅


Abstract: we extend the optimal securitization model of Possamaï and Pagès between an investor and a bank to a setting allowing both moral hazard and adverse selection. Following the recent approach to these problems of Cvitanić, Wan and Yang, we characterize explicitly and rigorously the so-called credible set of the continuation and temptation values of the banks, and obtain the value function of the investor as well as the optimal contracts through a recursive system of first-order variational inequalities with gradient constraints. We provide a detailed discussion of the properties of the optimal menu of contracts. This is a joint work with Nicolás Hernández Santibáñez and Dylan Possamaï.


邀请人:江一鸣


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