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Optimal Securitization with Moral Hazard

Author

Listed:
  • Tomasz Piskorski

    (Columbia Business School)

  • Alexei Tchistyi

    (UC Berkeley Haas)

  • Barney Hartman-Glaser

    (UC Berkeley Haas)

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.

Suggested Citation

  • Tomasz Piskorski & Alexei Tchistyi & Barney Hartman-Glaser, 2009. "Optimal Securitization with Moral Hazard," 2009 Meeting Papers 1256, Society for Economic Dynamics.
    • Handle: RePEc:red:sed009:1256
    as

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    References listed on IDEAS

    as
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