Credit risk findings for commercial real estate loans using the reduced form

Andreas D. Christopoulos and Joshua G. Barratt

Finance Research Letters, 2016, vol. 19, issue C, 228-234

Abstract: This paper considers probability of default and expected loss profiles of 25,019 mortgages collateralized by commercial real estate properties evaluated using a reduced form model on a daily basis over the period November 2007 through January 2015. Our evaluations provide a compact and valuable set of insights to build intuition on credit risks facing CMBS investors.

Keywords: CMBS; Credit risk; Financial crisis; Mortgages; MBS; Default; PD; Expected loss (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:228-234

DOI: 10.1016/j.frl.2016.08.004

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