Servicer Contracts and the Design of Mortgage‐Backed Security Pools
建立了一个统一的抵押贷款与服务商合同模型，发现违约后重新谈判可帕累托改进，但激励相容的服务商合同要求其持有特定风险头寸，而构建非分散化资产池可避免该成本并提升MBS价值。
Abstract We develop a unified model of mortgage and servicer contracts. Renegotiating mortgage contracts following default is strictly Pareto improving, if the lender gathers updated information. An incentive compatible servicer contract requires the servicer to hold a risk position that has a value strictly greater than the cost of exerting effort. This risk position cannot in general be approximated with a horizontal “first‐loss” position. An alternative, forming a nondiversified pool, preserves pool‐wide information, avoids the cost of an incentive compatible servicer contract, and may increase MBS value.