Show simple item record

dc.contributor.authorChemla, Gilles*
dc.contributor.authorHennessy, Christopher A.*
dc.date.accessioned2013-07-10T08:32:33Z
dc.date.available2013-07-10T08:32:33Z
dc.date.issued2014
dc.identifier.issn0022-1082
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11540
dc.language.isoenen
dc.subjectmoral hazard
dc.subjectskin in the game
dc.subjectSecuritization
dc.subjectrisk-sharing
dc.subject.ddc332en
dc.subject.classificationjelD.D6.D61en
dc.subject.classificationjelD.D8.D80en
dc.subject.classificationjelK.K2.K22en
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelG.G2.G28en
dc.titleSkin in the Game and Moral Hazard
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWhat determines equilibrium securitization levels, and should they be regulated? To address these questions we develop a model where originators can exert unobservable effort to increase asset quality, subsequently having private information regarding quality when selling ABS to rational investors. In equilibrium, all originators have low/zero retentions if they are financially constrained and/or prices are su¢ ciently informative. Asymmetric information lowers effort incentives in all equilibria. Effort is promoted by junior retentions, investor sophistication, andinformative prices. Optimal regulation promotes effort while accounting for investor-level externalities. It entails either a menu of junior retentions or a single junior retention with sizedecreasing in price informativeness. Mandated market opacity is only optimal amongst regulations failing to induce originator effort.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameThe Journal of Finance
dc.relation.isversionofjnlvol69
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages1597–1641
dc.relation.isversionofdoi10.1111/jofi.12161
dc.relation.isversionofjnlpublisherAmerican Finance Association
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-02-02T15:41:19Z
hal.person.labIds1032*
hal.person.labIds129021*
hal.identifierhal-01457063*


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record