Malamud, Semyon; Rui, Huaxia; Whinston, Andrew - In: Journal of Financial Economics 107 (2013) 1, pp. 111-135
We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermediary. We calculate the optimal contract...