This dissertation consists of two essays on commercial mortgage-backed securities (CMBS). The first essay examines the initial pricing of CMBS using a current and comprehensive database of modern CMBS issues. This paper extends the previous empirical valuation models of CMBS by employing...

Loan-to-value ratio and debt service coverage ratios have long been viewed as the two important quantitative measures of the default risk of commercial mortgages. Option-based models of default provide strong theoretic support for the importance of original loan-to-value ratio. The same...