EconPapers    
Economics at your fingertips  
 

Bank monitoring incentives under moral hazard and adverse selection

Nicolás Hernández Santibáñez, Dylan Possamaï and Chao Zhou
Additional contact information
Nicolás Hernández Santibáñez: DIM - Departamento de Ingeniera Matematica [Santiago] - USACH - Universidad de Santiago de Chile [Santiago], CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique
Dylan Possamaï: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique
Chao Zhou: NUS - National University of Singapore

Working Papers from HAL

Abstract: In this paper, we extend the optimal securitization model of Pagès [41] and Possamaï and Pagès [42] 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 [12], we characterize explicitly and rigorously the so-called credible set of the continuation and temptation values of the bank, 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.

Keywords: moral hazard; bank monitoring; securitization; adverse selection; principal-agent problem (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mic and nep-sea
Date: 2017-01-14
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01435460
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-01435460/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01435460

Access Statistics for this paper

More papers in Working Papers from HAL
Series data maintained by CCSD ().

 
Page updated 2018-01-16
Handle: RePEc:hal:wpaper:hal-01435460