Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt
AbstractThis paper empirically investigates a contingent-claims model of commercial mortgage pricing. The authors find that the magnitude of the observed default premia for a sample of nonprepayable fixed rate bullet mortgages can be explained by the contingent-claims model. In addition, the model explains a significant proportion of the period to period changes in the default premia. However, given an assumed negative correlation between building value changes and interest rate changes, the model's risk structure tends to increase less steeply with increasing maturity than the observed risk structure. Copyright 1989 by American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 44 (1989)
Issue (Month): 2 (June)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Foote, Christopher L. & Gerardi, Kristopher & Willen, Paul S., 2008.
"Negative equity and foreclosure: Theory and evidence,"
Journal of Urban Economics,
Elsevier, vol. 64(2), pages 234-245, September.
- Christopher L. Foote & Kristopher Gerardi & Paul S. Willen, 2008. "Negative equity and foreclosure: theory and evidence," Public Policy Discussion Paper, Federal Reserve Bank of Boston 08-3, Federal Reserve Bank of Boston.
- Duan, Jin-Chuan & Simonato, Jean-Guy, 1999.
" Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter,"
Review of Quantitative Finance and Accounting,
Springer, vol. 13(2), pages 111-35, September.
- Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter," CIRANO Working Papers 95s-44, CIRANO.
- Zhan Liu & Gang-Zhi Fan & Kian Lim, 2009. "Extreme Events and the Copula Pricing of Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 38(3), pages 327-349, April.
- Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
- Isil Erol & Kanak Patel, 2004. "Housing Policy and Mortgage Finance in Turkey During the Late 1990s Inflationary Period," International Real Estate Review, Asian Real Estate Society, vol. 7(1), pages 98-120.
- Andrea Gamba & Ricardo Rigon, 2007.
"The Value of Embedded Real Options: Evidence from Consumer Automobile Lease Contracts - A Note,"
Working Papers, Warwick Business School, Finance Group
wpn07-04, Warwick Business School, Finance Group.
- Gamba, Andrea & Rigon, Riccardo, 2008. "The value of embedded real options: Evidence from consumer automobile lease contracts--A note," Finance Research Letters, Elsevier, Elsevier, vol. 5(4), pages 213-220, December.
- Gang-Zhi Fan & Tien Sing & Seow Ong, 2012. "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 110-127, June.
- Brian A. Maris & William Segal, 2002. "Analysis of Yield Spreads on Commercial Mortgage-Backed Securities," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 23(3), pages 235-252.
- Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2013. "Local Traits and Securitized Commercial Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 787-813, November.
- Willemann, SÃ¸ren, 2005. "GSE Funding Advantages and Mortgagor Benefits: Answers from Asset Pricing," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2005-04, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007â€“2009 financial crisis," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(1), pages 37-61.
- repec:wyi:journl:002109 is not listed on IDEAS
- James Kau & Donald Keenan, 1999. "Catastrophic Default and Credit Risk for Lending Institutions," Journal of Financial Services Research, Springer, vol. 15(2), pages 87-102, March.
- Jun Chen & Yongheng Deng, 2013. "Commercial Mortgage Workout Strategy and Conditional Default Probability: Evidence from Special Serviced CMBS Loans," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 609-632, May.
- Colin Lizieri & Gianluca Marcato & Paul Ogden & Andrew Baum, 2012. "Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 774-803, October.
- Terrence M. Clauretie & Mel Jameson, 1995. "Residential Loan Renegotiation: Theory and Evidence," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 10(2), pages 153-162.
- Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers, CEMFI wp2006_0606, CEMFI.
- Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers, University of Wisconsin Center for Urban Land Economic Research 01-06, University of Wisconsin Center for Urban Land Economic Research.
- Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.