Commercial Mortgage-Backed Securities: Prepayment and Default.
One of the major developments in real estate finance during the 1990s was the emergence of a viable market for commercial mortgage backed securities. The growth in this market has spurred greater interest in empirical and theoretical research on commercial mortgage default and prepayment. We employ a competing risks model to examine the default and prepayment behavior of commercial loans underlying CMBS deals. We find that changes in the yield curve have a direct impact on the probability of mortgage termination. Furthermore, we do not find any statistical relationship between LTV and prepayment or default. Copyright 2003 by Kluwer Academic Publishers
Year of publication: |
2003
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Authors: | Ambrose, Brent W ; Sanders, Anthony B |
Published in: |
The Journal of Real Estate Finance and Economics. - Springer. - Vol. 26.2003, 2-3, p. 179-96
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Publisher: |
Springer |
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