Commercial Mortgage-Backed Securities: Prepayment and Default

Brent W. Ambrose and Anthony B. Sanders ()

The Journal of Real Estate Finance and Economics, 2003, vol. 26, issue 2-3, pages 179-96

Abstract: 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. We employ a competing risks model to examine the default and prepayment behavior of commercial loans underlying CMBS deals. We find that changes in the yield curve have a direct impact on the probability of mortgage termination. Furthermore, we do not find any statistical relationship between LTV and prepayment or default. Copyright 2003 by Kluwer Academic Publishers

Date: 2003
View citations in EconPapers

Downloads: (external link)
http://journals.kluweronline.com/issn/0895-5638/contents link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:kap:jrefec:v:26:y:2003:i:2-3:p:179-96

Access Statistics for this article

The Journal of Real Estate Finance and Economics is edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

More articles in The Journal of Real Estate Finance and Economics from Springer
Series data maintained by Christopher F. Baum ().