Security Contract Design under Asymmetric Information

摘要：

　　This paper considers the optimal design of Asset backed securities (ABS) under asymmetric information.Securitization improves bank’s liquidity in capital markets by removing the issued loans from its balance sheet and using the saved capital to originate new loans.But securitization is doubted by the recent financial crisis in 2007.One concern that frequently questioned is that securitization under asymmetric information leads to moral hazard in lender screening and monitoring.We discussed the moral hazard problem using a principal-agent model and show that the designment of securitization must contain a retention clause for moral hazard.

关键词： Asset backed securities (ABS) asymmetric information security design principalagent mode

作者: ZHANG Yu HAN Weihe

作者单位: Postdoctoral Workstation,Bank of Beijing,Beijing 100080,China

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 509-512

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）