Colloque / Séminaire

SEMINAIRE LABO - Nicolas HERNANDEZ, Post-Doctoral Assistant Professor, University of Michigan

Bank monitoring incentives under moral hazard and adverse selection

We start by introducing the main ideas of the Principal-Agent problem and its third best formulation. Then, in an application, we extend the optimal securitization model of Pagès (2013) and Possamaï and Pagès (2014) 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 (2013), we characterize 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 also a discussion of the properties of the optimal menu of contracts.

Liste des horaires :