Commercial Real Estate, Distress and Financial Resolution: Portfolio Lending Versus Securitization

Journal of Real Estate Finance and Economics

Volumn 51, Issue 2, 2015, Pages 254-287

  Downs, David H ^a  

^a VIRGINIA COMMONWEALTH UNIVERSITY   (United States)

^b Tracy)   (United States)

Author keywords

Commercial real estate; Distressed debt; Financial resolution; Securitization

Indexed keywords

EID: 84931956074     PISSN: 08955638     EISSN: 1573045X     Source Type: Journal    
DOI: 10.1007/s11146-014-9471-2     Document Type: Article

References (26)

1. Adelino, M., Gerardi, K., & Willen, P. (2013a). Why Don’t Lenders Renegotiate More Home Mortgages? Redefaults, Self-Cures and Securitization. Journal of Monetary Economics, 60, 835–853.
2. Adelino, M., Gerardi, K., & Willen, P. (2013b). Identifying the effect of securitization on foreclosure and modification rates using early-payment defaults. Working paper.
3. Agarwal, S., Amromin, G., Ben-David, I., Chomsisengphet, S., & Evanoff, D. D. (2011). The Role of Securitization in Mortgage Renegotiation. The Journal of Financial Economics, 102(3), 559–578.
4. Ambrose, B. W., Capone, C. A., & Deng, Y. (2001). Optimal put exercise: an empirical examination of conditions for mortgage foreclosure. Journal of Real Estate Finance and Economics, 23(2), 213–234.
5. Ambrose, B. W., & Sanders, A. B. (2003). Commercial Mortgage-backed Securities: Prepayment and Default. Journal of Real Estate Finance and Economics, 26(2–3), 179–196.
6. Ambrose, B.W., Sanders, A. B. & Yavas, A. (2010). Special servicers and adverse selection in informed intermediation: theory and evidence. Pennsylvania State University, Institute for Real Estate Studies, Working paper.
7. An, X., Deng, Y., & Gabriel, S. (2011). Asymmetric Information, Adverse Selection, and the Pricing of CMBS. Journal of Financial Economics, 100(2), 304–325.
8. Brown, D. (2000). Liquidity and Liquidation: Evidence from Real Estate Investment Trusts. Journal of Finance, 1, 469–485.
9. Brown, D., Ciochetti, B., & Riddiough, T. (2006). Theory and Evidence on the Resolution of Financial Distress. Review of Financial Studies, 19, 1357–1397.
10. Chen, J., & Deng, Y. (2013). Commercial Mortgage Workout Strategy and Conditional Default Probability: Evidence from Special Serviced CMBS Loans. Journal of Real Estate Finance and Economics, 46, 609–632.
11. Ciochetti, B. & Riddiough, T. (1998). Timing, loss recovery and economic performance of foreclosed commercial mortgages. Working paper.
12. Ciochetti, B. A., Deng, Y. H., Lee, G., Shilling, J. D., & Yao, R. (2003). A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias. Journal of Real Estate Finance and Economics, 27, 5–23.
13. Clauretie, T. M., & Herzog, T. (1990). The effect of state foreclosure laws on loan losses: Evidence from the mortgage insurance industry. Journal of Money, Credit and Banking, 22(2), 221–233.
14. Cox, D. R. & Oakes, D. (1984). Analysis of survival data. Monographs on statistics and applied probability. Chapman and Hall.
15. Crockett, J. H. (1990). Workouts, Deep Pockets, and Fire Sales: An Analysis of Distressed Real Estate. AREUEA Journal, 18(1), 76–90.
16. Fan, G. Z., Ong, S. E., & Sing, T. F. (2006). Moral Hazard, Effort Sensitivity and Compensation in Asset-Backed Securitization. Journal of Real Estate Finance and Economics, 32, 229–251.
17. Foote, C., Gerardi, K., Goette, L., & Willen, P. (2009). Reducing Foreclosures: No Easy Answers. NBER Macroeconomics Annual, 24, 89–138.
18. Gan, Y. H. & Mayer, C. (2006). Agency conflicts, asset substitution, and securitization. NBER Working paper
19. Ghent, A. & Valkanov, R. (2013). Comparing securitized and balance sheet loans: size matters. Working paper.
20. Gonas, J. S., Highfield, M., & Mullineaux, D. (2004). When are Commercial Loans Secured? Financial Review, 39(1), 79–99.
21. Harding, J. P., & Sirmans, C. F. (2002). Renegotiation of Troubled Debt: The Choice Between Discounted Payoff and Maturity Extension. Real Estate Economics, 30(3), 475–503.
22. Heckman, J. (1976). Sample selectivity problems as a specification error. Econometrica, 47(1), 153–162.
23. Liu, P., & Quan, D. (2013). Foreclosure of Securitized Commercial Mortgages – A Model of the Special Servicer. Journal of Real Estate Finance and Economics, 46, 321–338.
24. Pennington-Cross, A. (2003). Credit History and the Performance of Prime and Nonprime Mortgages. Journal of Real Estate Finance and Economics, 27(3), 279–301.
25. Piskorski, T., Seru, A., & Vig, V. (2010). Securitization and distressed loan renegotiation: Evidence from the subprime mortgage crisis. Journal of Financial Economics, 97(3), 360–397.
26. Riddiough, T. J., & Wyatt, S. B. (1994). Strategic Default, Workout, and Commercial Mortgage Valuation. Journal of Real Estate Finance and Economics, 9, 5–22.