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- W3122869067 abstract "As the fallout from subprime losses clearly demonstrates, the credit risk in residential mortgages is large and economically significant. To manage this risk, this article proposes the creation of derivative instruments based on the credit losses of a reference mortgage pool. We argue that these derivatives would enable banks to retain whole loans while also enjoying the capital benefits of hedging the credit risk in their mortgage portfolios. In comparisons of hedging effectiveness, the analysis shows that instruments based on credit losses outperform contracts based on house price appreciation." @default.
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- W3122869067 date "2011-06-30" @default.
- W3122869067 modified "2023-09-27" @default.
- W3122869067 title "Residential Mortgage Credit Derivatives" @default.
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- W3122869067 doi "https://doi.org/10.1111/j.1540-6229.2011.00309.x" @default.
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