Maxam, Clark L.; Fisher, Jeffrey - In: Journal of Property Investment & Finance 19 (2001) 6, pp. 498-518
This paper presents the first known non‐proprietary empirical examination of the relationship between Commercial Mortgage Backed Security (CMBS) pricing. CMBS prices are examined as a function of the “moneyness” of the default option, the age of the security, the interest rate, interest...