Showing 1 - 10 of 14
This study has two objectives: (1) it directly evaluates the relationship between commercial mortgage default incidence and characteristics of the mortgage, borrower, property, market, and general economic conditions, and (2) it uses this relationship to predict the exposure of life insurers to...
Persistent link: https://www.econbiz.de/10005693309
Persistent link: https://www.econbiz.de/10005693320
This paper examines the theory of commercial mortgage default and tests it using a data set of 2,899 loan histories provided by a major multi-line insurance company. A default model is estimated which relates subsequent default incidence and timing to contemporaneous loan term, borrower,...
Persistent link: https://www.econbiz.de/10005693337
One of the major factors hindering the introduction of alternative mortgage instruments is the possibility of adverse consequences to certain groups of households seeking to obtain credit for homeownership. This study examines this issue through an analysis of cross-sectional household data...
Persistent link: https://www.econbiz.de/10005335060
This study examines the return characteristics of a large, well-diversified commercial mortgage portfolio. Mortgage-specific cash-flow histories are constructed for 2,480 loans originated over the period 1974 through 1990, and a contingent-claims approach to pricing risky debt is used to...
Persistent link: https://www.econbiz.de/10005162182
This paper makes a preliminary attempt to evaluate empirically the nature of the contribution of architectural quality to the value of buildings. An economic model is postulated that predicts equilibrium rent and vacancy behavior as a function of both design and non-design characteristics....
Persistent link: https://www.econbiz.de/10005309800
This paper addresses, theoretically and empirically, the structure of influences affecting the default option in mortgage contracts. A formal theoretical model recognizes that a number of loan and non-loan related effects beyond equity in the unit could influence the default decision. These...
Persistent link: https://www.econbiz.de/10005309837
This article addresses the micro-analytic foundations of illiquidity and price dynamics in the real estate market by integrating modern portfolio theory with models describing the real estate transaction process. Based on the notion that real estate is a heterogeneous good that is traded in...
Persistent link: https://www.econbiz.de/10005309885
This paper is the text of the 1992 Presidential Address for the American Real Estate and Urban Economics Association. A comparative evaluation of mortgage default research finds that both the residential and commercial markets evolved from informal underwriting rules, to formalized (though...
Persistent link: https://www.econbiz.de/10005309969
Persistent link: https://www.econbiz.de/10005309981