Ciochetti, Brian A.; Vandell, Kerry D. - In: Real Estate Economics 27 (1999) 1, pp. 27-61
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...