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Jeudi 3 Novembre 2011

Gilles CHEMLA (Université Paris Dauphine et Imperial College London) présentera une communication :

"Skin in the Game and Moral Hazard"
avec Christopher A. Hennessy (London Business School)

de 14 h à 15 h 30 en Salle S016 à l'INSEE-CREST, 15 Boulevard Gabriel Péri, 92245 MALAKOFF (Métro : Malakoff/Plateau de Vanves (Immeuble "Malakoff 2)).

Abstract: Should skin in the game be regulated in ABS markets? If so, why and how? To address these questions we develop a noisy rational expectations model where originators can exert effort ex ante and exploit interim private information in choosing retentions and tranching. In all unregulated market equilibria, asymmetric information reduces differences in type-contingent interim payoffs, discouraging effort. Further, originators do not internalize benefits from signaling in facilitating efficient risk-sharing across investors. Effort can be induced by mandating high (interim-inefficient) retentions, punishing low types. In the optimal separating regulation inducing effort, originators choose from a menu of junior tranche retention sizes. In the optimal pooling regulation inducing effort, all originators retain a single junior claim, with size depending on price informativeness. The separating (pooling) regulation generally maximizes welfare if efficient risk-sharing (bank investment) is the dominant concern. Mandated opacity is only optimal amongst mechanisms providing zero effort incentive.

 

Programme 2011/2012 :

15 Septembre 2011

 

Christian HELLWIG (TSE & CEPR)
(joint with Venky Venkateswaran)
S016
29 Septembre 2011
Xavier RAGOT (PSE)
(joint with François Le Grand)
S016
20 Octobre 2011
Raicho BOJILOV (Ecole Polytechnique)
Amphi 2 (ENSAE)
3 Novembre 2011


Gilles CHEMLA (Université Paris-Dauphine et Imperial College London)

Skin in the Game and Moral Hazard"

 

S016
10 Novembre 2011
Anna PIIL DAMM (Aarhus Universitet)
(joint avec Christian Dustmann)
The Effect of Growing Up in a High Crime Neighbourhood on Criminal Behavious : Evidence from a Random Allocation Experiment
S016
17 Novembre 2011

Philippe ANDRADE (Banque de France)
Inattentive Professional Forecasters
(co-écrit avec Hervé le Bihan)

S016
1 Décembre 2011 Augustin LANDIER
(joint with Itzhak Ben-David, Francesco Franzoni et Rabih Moussawi)
S016
8 Décembre 2011
Chryssi GIANNITSAROU (University of Cambridge & CEPR)
S016
5 Janvier 2011
TBC
S016
19 Janvier 2012
Luca BENATI (University of Berne)
S016

Sauf exception, les articles sont accessibles en cliquant sur les titres.