Is it possible to get interest rate swaps on mortgages? If not, why not? Are there models that describe this? Any direction would be great.
Are there any free or relatively cheap sources of aggregate data on credit risk for specific geographic regions, ages, and so on?
In terms of Merton credit risk model need to find the initial value of counterparty's assets and the volatility of the assets. Both value are not directly observable thus we have to approximate them ...