Optimal Securitization with Moral Hazard

Tomasz Piskorski, Alexei Tchistyi and Barney Hartman-Glaser
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Tomasz Piskorski: Columbia Business School
Alexei Tchistyi: UC Berkeley Haas
Barney Hartman-Glaser: UC Berkeley Haas

No 1256, 2009 Meeting Papers from Society for Economic Dynamics

Abstract: include constraints to limit the loss faced by the underwriter for an early first default. In this more complicated setting, a simple implementation using a CDS and a risk free bond persists.

Date: 2009
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