Securitization and optimal retention under moral hazard

Securitization improves liquidity in capital markets by allowing originators to remove issued loans from its balance sheet and use the proceeds for other purposes. Securitization is often suspected of being one of the main reasons for the recent financial crisis. One concern is that securitization leads to moral hazard in lender screening and monitoring. By selling loans to investors and removing them from their books, banks have a lesser incentive to carefully evaluate and monitor borrowers’ credit quality to ensure that they can repay their loans. One problem in the literature is that the analysis of securitization is very general and suffers from a lack of specific security design analysis under asymmetric information. We address the moral hazard problem using a principal–agent model where the investor is the principal and the lender is the agent. We show that the optimal contract must contain a retention clause in the presence of moral hazard. The optimal retention is affected by tranching and credit enhancement.     

On moral hazard and nonexclusive contracts

We study an economy where intermediaries compete over contracts in a nonexclusive insurance market affected by moral hazard. In this context, we show that, contrarily to what is commonly believed, market equilibria may fail to be efficient even if the planner is not allowed to enforce exclusivity of trades (third best inefficiency). Our setting is the same as that of Bisin and Guaitoli [Bisin, A., Guaitoli, D., 2004. Moral hazard with nonexclusive contracts. Rand Journal of Economics 2, 306–328]. We hence argue that some of the equilibrium conditions they imposed are not necessary, and we exhibit a set of equilibrium allocations which fail to satisfy them.     

A mechanism design approach to an optimal contract under ex ante and ex post private information

This paper applies a mechanism design approach to the problem of an optimal contract when one party has both ex ante and ex post private information. With ex ante private information added to the costly state verification environment, the timing of the contract is important in achieving the first-best investment decision. It is shown that an optimal contract involves precommitment, a feature often observed in many bank loan contracts. An optimal contract thus obtained is interpreted as t he golden parachute, a device providing incentives to managers not to distort the running of a firm to fight takeover bids. In the process of characterizing an optimal contract, the revelation principle is re-examined. Received: 12 April 1996 / Accepted: 3 December 1997     

Capital market equilibrium with moral hazard and flexible technology

(Magill, M., Quinzii, M., 2002. Capital market equilibrium with moral hazard. Journal of Mathematical Economics 38, 149–190) showed that, in a stockmarket economy with private information, the moral hazard problem may be resolved provided that a spanning overlap condition is satisfed. This result depends on the assumption that the technology is given by a stochastic production function with a single scalar input. The object of the present paper is to extend the analysis of Magill and Quinzii to the case of multiple inputs. We show that their main result extends to this general case if and only if, for each firm, the number of linearly independent combinations of securities having payoffs correlated with, but not dependent on, the firms output is equal to the number of degrees of freedom in the firm’s production technology.     

On the value of information in the presence of moral hazard

This paper shows that the marginal value of a “small amount of non-output information” is generally non-positive in the context of the standard principal-agent model involving moral hazard, which suggests a non-concavity in the value of information. However, when both the principal and the agent are risk neutral, even a small amount of non-output information may exhibit a positive incremental value in presence of a liability constraint.      

Optimal deterministic contracting mechanisms for principal-agent problems with moral hazard and adverse selection

For the principal-agent problem with moral hazard and adverse selection we establish that within the collection of all measurable, deterministic contracting mechanisms satisfying the individual rationality and incentive compatibility constraints there exists one that is optimal for a risk averse principal contracting with a risk averse agent. In addition to demonstrating existence, one of the main contributions of the paper is to show that, in general, centralized contracting implemented via a contracting mechanism is equivalent to delegated contracting implemented via a contract menu. Thus, contracting can always be delegated to the agent without gain or loss to the principal. Based on this result, the existence of an optimal contracting mechanism for the principal-agent problem is established by showing that there exists an optimal contract menu for the equivalent delegated contracting problem. Received: 7 October 1994 / Accepted: 14 January 1997     

Dispersed initial ownership and the efficiency of the stock market under moral hazard

We generalize a standard general equilibrium framework extended for moral hazard to allow for a dispersed initial ownership distribution of firms. We show that the market allocation is constrained-efficient only when in each firm the entrepreneur who generates payoffs through unobservable effort has full initial ownership in his firm.     

Proportional reversed hazard and frailty models

Reversed hazard rates are found to be very useful in survival analysis and reliability especially in study on parallel systems and in the analysis of left censored lifetime data. In this paper, we derive a class of bivariate distributions having marginal proportional reversed hazard rates. We, then, introduce a class of proportional reversed hazard rates frailty models and propose a multivariate correlated gamma frailty model. Bivariate reversed hazard rates and association measure are discussed in terms of frailty parameters.     

Optimal wage contracts under asymmetric information and moral hazard when investment decisions are delegated

I derive an optimal wage contract when risky investment decisions are delegated by riskaverse owners/investors to risk-neutral agents. The owners/investors do not know the probability distribution over the returns of any investment made by an agent. They know only the mean and the variance, and the upper and lower bounds of the return realizations of the different positive net present value (NPV) investment opportunities that can be discovered by their agents. They observe only the returns realized at the end of the period. Moral hazard with respect to investments made by agents, who are protected by limited liability, is also possible: an agent can falsely claim to have invested in one type of positive NPV investment opportunity and invest in another, or the agent can falsely claim to have invested in a positive NPV investment and invest in a negative NPV investment. I show that an optimal wage contract is simple under such conditions of severe asymmetric information and moral hazard. (JEL G20, G31)     

论新形势下增强高校德育工作的实效性艺术

随着我国社会主义市场经济体制的不断完善和改革开放的深入,必须要提高高校德育工作的实效性艺术,充分发挥教师的育人作用,尊重学生的主体地位,进一步加大学校的德育工作力度,只有这样才能将工作做好、做细与做实。     

供应链环境下物流业务外包合同制定因素分析

在供应链环境下,以合同为中心,从委托一代理理论和分期行为两个角度去分析物流业务外包方在选择合作企业、制定合同时应该考虑的各种因素．以及签订合同后需要采取的措施和注意的事项．主要目的是为避免专业物流公司道德风险行为及其他不利行为的发生。并讨论了各种因素对专业物流公司是否采取不利行为的影响程度．为有合同制定权的物流业务外包方制定合同时提供一定的理论依据．对此类企业起到一定的参考和借鉴作用。     

非对称信息环境下的会计信息披露

理想环境下财务报表披露的信息具有完全的相关性和可靠性。然而,财务报告所面临的现实环境是复杂的。由于存在着信息不对称,使得充分及时的会计信息披露在维护资本市场公平有效、帮助投资者预测公司未来盈利能力方面显得至关重要。会计信息披露的观点有两种:强制披露和自愿披露。在非对称信息环境下,应该既把握好强制性披露的度,又增强企业自愿披露的动机。     

信息不对称下军事采购的激励性规制

在分析军事采购活动信息不对称的基础上，对比完全信息和不对称信息下军事采购的最优激励机制，并提出具体的规制措施。     

对任职教育下提升学科专业团队理论研究水平的思考

学科专业团队的理论研究水平直接决定学科专业团队的建设水平。本文针对任职教育的特点,从提升学科专业团队理论研究水平的需求—平台、动力及保障机制入手,提出内引外联、任务牵引、建立机制等具体方法措施,并指出措施落实时应注意的问题。     

邮政物流仓储管理信息系统设计与实现

文章针对新形势下邮政如何利用有限资源、降低运营成本、发展物流业务,提出了适合邮政物流企业的一种信息系统的模式,以物流仓储中心为例,给出了系统层次结构和系统功能并且分析了3层C/S模式设计的原理,重点讨论了3层C/S在邮政物流中的应用和实现。     

消费者行为和城市垃圾收运系统对废旧产品进入逆向供应链的影响

本文介绍了逆向供应链的概念，以及逆向供应链的开始环节——废旧产品的收集。从消费者处收集废旧产品需要对消费者进行适当的经济激励，激励手段主要包括事前激励和事后激励两种。目前大多数废旧产品直接进入城市垃圾收运系统后，常常不能进入可有效重新利用废旧产品的逆向供应链。合理规划城市垃圾收运系统，有助于废旧产品进入逆向供应链。     

研究生与本科生德育工作衔接的系统论研究

研究生与本科生德育工作衔接问题是高校德育教育发展中一个重要的理论和实践问题,借助系统论原理去增强德育的衔接性,可以形成连贯衔接、循序渐进、螺旋上升的系统化德育教育体系,从而充分发挥思想政治教育的价值和功能。     

Private Equity and Agency Costs: an Economic Analysis

Private equity ¹ is a new and powerful form of general management. Done correctly, it can increase value in firms by closing the ‘information gap’ between shareholders and management. This can help to reduce agency costs and capture otherwise lost value.     

非对称信息下逆向供应链协调机制研究

通过建立非线性供给下的两级逆向供应链模型,利用博弈论和委托—代理理论,分别讨论了对称信息和非对称信息下逆向供应链的协调机制;分析了非对称信息对逆向供应链协调机制的影响;并进行了数值分析和模型验证,最后得出了研究结论。     

网络关系契约与虚拟组织

运用博弈论的静态比较研究方法。引入契约经济学的视点建立起企业网络的关系契约模型（NRC），分析了企业网络中建立并保持稳定的关系外包结构的条件。进而对于虚拟企业的发展动因做出独到的分析与总结。