Commercial Mortgage-Backed Securities: Prepayment and Default

Journal of Real Estate Finance and Economics

Volumn 26, Issue 2-3, 2003, Pages 179-196

  Ambrose, Brent W ^a   Sanders, Anthony B ^b  

^a UNIVERSITY OF KENTUCKY   (United States)

^b OHIO STATE UNIVERSITY   (United States)

Author keywords

Commercial mortgage backed securities; Competing risks; Default; Prepayment

Indexed keywords

EID: 0037245441     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1022978708728     Document Type: Conference Paper

References (28)

1. Abraham, J., and S. Theobald. (1997). "A Simple Prepayment Model of Commercial Mortgages," Journal of Housing Economics 6, 31-59.
2. Ambrose, B. W., and C. A. Capone Jr. (2000). "The Hazard Rates of First and Second Default", The Journal of Real Estate Finance and Economics 20(3), 275-293.
3. Ambrose, B. W., and M. LaCour-Little. (2001). "Prepayment Risk in Adjustable Rate Mortgages Subject to Initial Year Discounts: Some New Evidence," Real Estate Economics 29(2), 305-328.
4. Archer, W., P. Elmer, D. Harrison, and D. Ling. (2001). "Determinants of Multifamily Mortgage Default." University of Florida. Working paper.
5. Boyer, L. G., J. R, Follain, J. Ondrich, and R. Piccirillo. (1997). "A Hazard Model of Prepayment and Claim Rates for FHA Insured Multi-family Mortgages." Working paper.
6. Capone, C. A., Jr., and L. Goldberg. (1998). "Motivating and Modeling Multi-family Mortgage Prepayment Rates." Working paper.
7. Cheng, D., A. Cooper, and J. Huang. (1997). "Understanding Prepayments in CMBS Deals." In Fabozzi et al. (eds.), The Handbook of Nonagency Mortgage-Backed Securities. Frank J. Fabozzi Associates.
8. Ciochetti, B., and K. A. Vandell. (1999). "The Performance of Commercial Mortgages," Real Estate Economics 27(1), 27-62.
9. Ciochetti, B. A., B. Gao, and R. Yao. (2000). "The Termination of Lending Relationships through Prepayment and Default in Commercial Mortgage Markets: A Proportional Hazard Approach with Competing Risks." University of North Carolina. Working paper.
10. Clapp, J. M., G. M. Goldberg, J. P. Harding, and M. LaCour-Little. (2001). "Movers and Shuckers: Interdependent Prepayment Decisions," Real Estate Economics 29, 411-450.
11. Deng, Y., J. M. Quigley, and R. Van Order. (2000). "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Econometrica 68(2), 275-307.
12. Elmer, P. J., and A. E. Haidorfer. (1997). "Prepayments of Multi-Family Mortgage-Backed Securities," Journal of Fixed Income 6(4), 50-63.
13. Follain, J. R., W. Huang, and J. Ondrich. (1999). "Stay, Pay or Walk Away: A Hazard Rate Analysis of FHA-Insured Multi-Family Mortgage Terminations." Working paper.
14. Follain, J. R., J. Ondrich, and G. Sinha. (1997). "Ruthless Prepayment? Evidence from Multi-Family Mortgages," Journal of Urban Economics 41, 78-101.
15. Goldberg, L., and C. A. Capone Jr. (1997). "Motivation and Testing of a Double-Trigger Hypothesis for Multi-Family Loan Defaults." Working paper.
16. Gross, A. J., and V. A. Clark. (1975). Survival Distributions: Reliability Applications in the Biomedical Sciences. New York: John Wiley and Sons, Inc.
17. Gyourko, J., and D. Keim. (1992). "What Does the Stock Market Tell Us About Real Estate Returns?" Real Estate Economics (formerly Journal of the American Real Estate and Urban Economics Association) 20(3), 457-485.
18. Kau, J. B., D. C. Keenan, W. J. Muller, III, and J. F. Epperson. (1992). "A Generalized Valuation Model for Fixed-Rate Residential Mortgages," Journal of Money, Credit, and Banking 24, 279-299.
19. Kau, J. B., D. C. Keenan, W. J. Muller, III, and J. F. Epperson. (1993). "Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages," Journal of Business 66, 595-618.
20. Kau, J. B., D. C. Keenan, W. J. Muller, and J. F. Epperson. (1990). "Pricing Commercial Mortgages and Their Mortgage-Backed Securities," Journal of Real Estate Finance and Economics 3(4), 333-356.
21. Kau, J. B., D. C. Keenan, T. Kim. (1994). "Default Probabilities for Mortgages," Journal of Urban Economics 35(3), 278-296.
22. Kelly, A., and V. C. Slawson. (1999). "Commercial Mortgage Prepayment Penalties and the Value of Delay." Working paper.
23. McConnell, J. J., and M. Singh. (1994). "Rational Prepayments and the Valuation of Collateralized Mortgage Obligations," The Journal of Finance 49(3), 891-921.
24. Riddiough, T. J., and H. R. Thompson. (1993). "Commercial Mortgage Default Pricing with Unobservable Borrower Default Costs," Real Estate Economics (formerly AREUEA Journal) 21, 256-291.
25. Schwartz, E. S., and W. N. Torous. (1992). "Prepayment, Default, and the Valuation of Mortgage Pass-through Securities," Journal of Business 65(2), 221-239.
26. Stiglitz, J. E., and A. Weiss. (1981). "Credit Rationing in Markets with Imperfect Information," American Economic Review 71(3), 393-410.
27. Vandell, K. D. (1992). "Predicting Commercial Mortgage Foreclosure Experience," Real Estate Economics (formerly AREUEA Journal) 20(1), 55-88.
28. Vandell, K. W. Barnes, D. Hartzell, D. Kraft, and W. Wendt (1993). "Commercial Mortgage Defaults: Proportional Hazards Estimations Using Individual Loan Histories," Real Estate Economics (formerly AREUEA Journal) 21(4), 451-480.