کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960989 929766 2013 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bank monitoring incentives and optimal ABS
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری استراتژی و مدیریت استراتژیک
پیش نمایش صفحه اول مقاله
Bank monitoring incentives and optimal ABS
چکیده انگلیسی
The paper examines a continuous-time delegated monitoring problem between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian “contagion.” Moral hazard induces a foreclosure bias unless the bank is compensated with the right incentive-compatible contract. Fees are paid when the bank's performance is on target and liquidation arises when the bank's performance is sufficiently poor. I show that the optimal contract can be implemented with a whole loan sale involving both credit risk retention based on ABS credit default swaps and credit enhancement in the form of a reserve account. The optimal securitization bears out rulemaking recently proposed in the wake of the Dodd-Frank Act on a number of controversial provisions. I argue that further efficiency gains could be reaped by extending the role of the “premium capture” account into a liquidity buffer capturing performance-based compensation as a way of increasing skin in the game over the life of the transaction.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Intermediation - Volume 22, Issue 1, January 2013, Pages 30-54
نویسندگان
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