Residential Mortgage Credit Derivatives
提出基于抵押贷款池信用损失的衍生品，帮助银行在保留贷款的同时对冲信用风险，分析表明其优于基于房价上涨的合约。
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.