Commercial Mortgage-backed Securities: Prepayment and Default

Topics:
Commercial Lending
Tags:
Capital Structures,
Finance,
Mortgage-backed Security,
Mortgages
Source:
Fisher College of Business

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Overview: One of the major developments in real estate finance during the 1990s was the emergence of a viable market for commercial mortgage backed securities. The growth in this market has spurred greater interest in empirical and theoretical research on commercial mortgage default and prepayment. The article employs a competing risks model to examine the default and prepayment behavior of commercial loans underlying CMBS deals. It finds that changes in the yield curve have a direct impact on the probability of mortgage termination. Furthermore, it does not find any statistical relationship between LTV and prepayment or default.

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Format: PDF | Size: 266KB | Date: Feb 2002 | Pages: 37

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