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A Dynamic Double-Trigger Model of Multifamily Mortgage Default

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Author Info
Lawrence Goldberg
Charles A. Capone, Jr.
Abstract

This study advances the commercial mortgage literature by providing theory and methods for incorporating both equity and cash-flow considerations in default models. We use local market conditions to compute a (joint) probability that default is in-the-money, based on both equity and cash-flow considerations. Statistical analysis is performed using data on multifamily mortgages originated in the 1980s and early 1990s. Simulations based on statistical modeling show advantages of the probabilistic double-trigger approach over other measures of equity and cash flow. Copyright 2002 by the American Real Estate and Urban Economics Association.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00031
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Publisher Info
Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

Volume (Year): 30 (2002)
Issue (Month): 1 ()
Pages: 85-113
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Handle: RePEc:bla:reesec:v:30:y:2002:i:1:p:85-113

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  1. Richard K. Green & George M. Jabbour & Yi-Kang Liu, 2006. "The Performance of Default Risk Structural Models on Commercial Mortgages: An Empirical Investigation," Working Papers 0014, School of Business, The George Washington University. [Downloadable!]
  2. Deng, Yongheng & Quigley, John M. & Sanders, Anthony B., 2006. "Commercial Mortgage-backed Securities (CMBS) Terminations, Regional and Property-Type Risk," Working Paper Series 2006-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
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This page was last updated on 2009-12-19.

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