數(shù)量經(jīng)濟學研討會

[20190410]

報告題目：Performance Evaluation, Managerial Hedging, and ContractTermination

報告人：黃煜(上海交通大學上海高級金融學院)

報告時間：2019年04月10日12:30-13:30

報告地點：明德主樓734

內(nèi)容簡介：We develop a dynamic moral hazard model where a CARAmanager, protected by limited liability, privately trades a market portfolio tohedge market risk in her compensation. The inefficient project liquidationmakes the risk-neutral principal endogenously risk-averse. Thanks to a feedbackmechanism of managerial hedging, the principal manages liquidation risk andregulates payment timing in the deferred compensation fund. An optimal dynamicmixture of relative and absolute performance evaluations is determined by atrade-off between liquidation-payment control and incentive provision. Near theliquidation boundary, the contract is exposed to extra market risk in additionto existent market component from absolute output, entailing increasedliquidation probability after negative market shocks. The optimal contract isimplemented in an entrepreneurship context, where financially distressed firmsperform less risk management。

報告人簡介：黃煜，現(xiàn)為上海交通大學上海高級金融學院博士生，他的主要研究方向金融合約理論、公司金融理論、保險經(jīng)濟學。

數(shù)量經(jīng)濟教研室

運籌學與數(shù)量經(jīng)濟研究所

中國人民大學經(jīng)濟學院

2019年04月