As the fallout from subprime losses clearly demonstrates, the credit risk in residential mortgages is large and economically significant. To manage this risk, this paper proposes the creation of derivative instruments based on the credit losses of a reference mortgage pool. We argue that these...

This paper offers a new method for nonparametric estimation - based on the Cobb-Douglas form - that is simple, easy to interpret, efficient among the class of all linear nonparametric estimators, and nearly efficient among all nonparametric estimators. Thus empirical analysts who prefer the...

This paper examines the impact of refinancing on mortgage defaults based on an empirical investigation of the Home Affordable Refinance Program (HARP). We study a unique dataset from Freddie Mac which includes loans funded right before and after the HARP eligibility cutoff date, an exogenous...

This paper examines complications that arise in the nonparametric estimation of scale and scope economies. This paper presents a simple nonparametric strategy for estimating cost functions--the localization of the translog functional form--that is both easy to implement and has very desirable...