英文标题：
《Bank monitoring incentives under moral hazard and adverse selection》
---
作者：
Nicol\\\'as Hern\\\'andez Santib\\\'a\\~nez and Dylan Possama\\\"i and Chao
Zhou
---
最新提交年份：
2019
---
英文摘要：
In this paper, we extend the optimal securitisation model of Pag\\`es [50] and Possama\\\"i and Pag\\`es [51] between an investor and a bank to a setting allowing both moral hazard and adverse selection. Following the recent approach to these problems of Cvitani\\\'c, Wan and Yang [14], we characterise explicitly and rigorously 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 a detailed discussion of the properties of the optimal menu of contracts.
---
中文摘要：
在本文中，我们将投资者和银行之间的Pag-es[50]和Possama-i以及Pag-es[51]的最优证券化模型扩展到允许道德风险和逆向选择的环境中。继Cvitani\'c、Wan和Yang[14]最近对这些问题的处理方法之后，我们明确而严格地描述了银行的连续值和诱惑值的所谓可信集，并通过梯度约束的一阶变分不等式递归系统获得了投资者的价值函数以及最优合约。我们详细讨论了合同最优菜单的性质。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->