Subordination levels are of critical importance in the classic senior-subordinated structure for securitized financing (such as collateralized debt obligations and commercial mortgage-backed securities). Subordination levels determine the amount of credit support that the senior bonds (or...

This paper extends unobserved heterogeneity to the multinomial logit model (MNL) framework in the context of mortgages terminated by refinance, move, or default. It tests for the importance of unobserved heterogeneity when borrower characteristics such as income, age and credit score are...

Property market dynamics depend on changes in long run equilibrium and on impediments to adjustment towards equilibrium. One of the most important aspects of property market dynamics is often attributed to the activities in the mortgage market. However, many impediment factors, such as changes...

We study the potential model instability problem with respect to mortgage default risk and examine to what extent it helps explain the default shock during the recent crisis. We find that econometric default risk models based on historical data can be unstable over time. Due to temporal shifts...

We expand on the standard commercial mortgage default model and create a new model by looking beyond the usual factors of option value, insolvency, property type, region, originator type, state foreclosure laws and macroeconomic measures. The new model incorporates measures of local economic...

Despite recent volatility and constraints in secondary market funding, analysts have ascribed substantial value creation to the securitization of commercial mortgages. Such value creation likely emanates from liquidity enhancements, regulatory arbitrage, price discrimination and risk...

Subordination levels are of critical importance in the classic senior-subordinated structure for securitized financing (such as collateralized debt obligations and commercial mortgage-backed securities). Subordination levels determine the amount of credit support that the senior bonds (or...

This article extends unobserved heterogeneity to the multinomial logit (MNL) model framework in the context of mortgages terminated by refinance, move or default. It tests for the importance of unobserved heterogeneity when borrower characteristics such as income, age and credit score are...

This paper estimates a proportional hazard model of duration of residence in rental housing. The study employs unique data from the BLS-CPI housing sample to construct the duration of rental occupancy for metropolitan areas over the 1987-1998 period. American Housing Survey and other...