Commercial Mortgage-Backed Securities: Prepayment and Default

Brent W. Ambrose, Anthony B. Sanders

Research output: Contribution to journalArticlepeer-review

52 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)179-196
Number of pages18
JournalJournal of Real Estate Finance and Economics
Volume26
Issue number2-3
DOIs
StatePublished - Mar 1 2003

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

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