IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v20y1996i3p511-536.html
   My bibliography  Save this article

The value of recourse and cross-default clauses in commercial mortgage contracting

Author

Listed:
  • Childs, Paul D.
  • Ott, Steven H.
  • Riddiough, Timothy J.

Abstract

No abstract is available for this item.

Suggested Citation

  • Childs, Paul D. & Ott, Steven H. & Riddiough, Timothy J., 1996. "The value of recourse and cross-default clauses in commercial mortgage contracting," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 511-536, April.
    • Handle: RePEc:eee:jbfina:v:20:y:1996:i:3:p:511-536
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0378-4266(95)00008-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Wai K. Leung & C. F. Sirmans, 1990. "A Lattice Approach to Pricing Fixed‐Rate Mortgages with Default and Prepayment Options," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(1), pages 91-104, March.
    2. Timothy J. Riddiough & Howard E. Thompson, 1993. "Commercial Mortgage Pricing with Unobservable Borrower Default Costs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 265-291, September.
    3. McConnell, John J & Singh, Manoj, 1994. "Rational Prepayments and the Valuation of Collateralized Mortgage Obligations," Journal of Finance, American Finance Association, vol. 49(3), pages 891-921, July.
    4. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    5. Buser, Stephen A & Hendershott, Patric H & Sanders, Anthony B, 1990. "Determinants of the Value of Call Options of Default-Free Bonds," The Journal of Business, University of Chicago Press, vol. 63(1), pages 33-50, January.
    6. Boyle, Phelim P & Evnine, Jeremy & Gibbs, Stephen, 1989. "Numerical Evaluation of Multivariate Contingent Claims," The Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 241-250.
    7. David M. Geltner, 1993. "Estimating Market Values from Appraised Values without Assuming an Efficient Market," Journal of Real Estate Research, American Real Estate Society, vol. 8(3), pages 325-346.
    8. Lenos Trigeorgis, 1993. "Real Options and Interactions With Financial Flexibility," Financial Management, Financial Management Association, vol. 22(3), Fall.
    9. Kerry D. Vandell, 1993. "Handing Over the Keys: A Perspective on Mortgage Default Research," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 211-246, September.
    10. Kau, James B & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1990. "Pricing Commercial Mortgages and Their Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 3(4), pages 333-356, December.
    11. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254, June.
    12. Kau James B. & Keenan Donald C. & Kim Taewon, 1994. "Default Probabilities for Mortgages," Journal of Urban Economics, Elsevier, vol. 35(3), pages 278-296, May.
    13. Titman, Sheridan D & Torous, Walter N, 1989. " Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt," Journal of Finance, American Finance Association, vol. 44(2), pages 345-373, June.
    14. Mauer, David C & Triantis, Alexander J, 1994. "Interactions of Corporate Financing and Investment Decisions: A Dynamic Framework," Journal of Finance, American Finance Association, vol. 49(4), pages 1253-1277, September.
    15. In Joon Kim & Krishna Ramaswamy & Suresh Sundaresan, 1993. "Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model," Financial Management, Financial Management Association, vol. 22(3), Fall.
    16. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    17. Stulz, ReneM. & Johnson, Herb, 1985. "An analysis of secured debt," Journal of Financial Economics, Elsevier, vol. 14(4), pages 501-521, December.
    18. Smith, Clifford Jr. & Warner, Jerold B., 1979. "On financial contracting : An analysis of bond covenants," Journal of Financial Economics, Elsevier, vol. 7(2), pages 117-161, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. David Glancy & Robert Kurtzman & Lara Loewenstein & Joseph Nichols, 2023. "Recourse as shadow equity: Evidence from commercial real estate loans," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(5), pages 1108-1136, September.
    2. Grovenstein, Robert A. & Harding, John P. & Sirmans, C.F. & Thebpanya, Sansanee & Turnbull, Geoffrey K., 2005. "Commercial mortgage underwriting: How well do lenders manage the risks?," Journal of Housing Economics, Elsevier, vol. 14(4), pages 355-383, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    2. Tracey Seslen & William C. Wheaton, 2010. "Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How “Ruthless” is Default?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 225-255, June.
    3. Tracey Seslen & William C. Wheaton, 2005. "Contemporaneous Loan Stress and Termination Risk in the CMBS pool: how "Ruthless" is default?," Working Paper 8582, USC Lusk Center for Real Estate.
    4. Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016. "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 151-174.
    5. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
    6. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
    7. Chen, An-Sing & Chu, Hsiang-Hui & Hung, Pi-Hsia & Cheng, Miao-Sih, 2020. "Financial risk and acquirers' stockholder wealth in mergers and acquisitions," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    8. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    9. Abel Elizalde, 2006. "Credit Risk Models II: Structural Models," Working Papers wp2006_0606, CEMFI.
    10. Marisa Cenci & Andrea Gheno, 2005. "Equity and debt valuation with default risk: a discrete structural model," Applied Financial Economics, Taylor & Francis Journals, vol. 15(12), pages 875-881.
    11. 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.
    12. Hamoto, Azad & Correia, Ricardo, 2012. "A theoretical analysis of the stages and events experienced by financially distressed firms," DEE - Working Papers. Business Economics. WB 13115, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    13. Uhrig-Homburg, Marliese, 2005. "Cash-flow shortage as an endogenous bankruptcy reason," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1509-1534, June.
    14. Chen, Ren-Raw & Chidambaran, N.K. & Imerman, Michael B. & Sopranzetti, Ben J., 2014. "Liquidity, leverage, and Lehman: A structural analysis of financial institutions in crisis," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 117-139.
    15. Sumit Agarwal & Yongheng Deng & Jia He, 2020. "Time Preferences, Mortgage Choice and Mortgage Default," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 151-187.
    16. repec:wyi:journl:002109 is not listed on IDEAS
    17. Belal Ehsan Baaquie & Muhammad Mahmudul Karim, 2023. "Pricing risky corporate bonds: An empirical study," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 90-121, January.
    18. Barbedo, Claudio Henrique da Silveira & Lemgruber, Eduardo Facó, 2009. "A down-and-out exchange option model with jumps to evaluate firms' default probabilities in Brazil," Emerging Markets Review, Elsevier, vol. 10(3), pages 179-190, September.
    19. Ilya A. Strebulaev, 2007. "Do Tests of Capital Structure Theory Mean What They Say?," Journal of Finance, American Finance Association, vol. 62(4), pages 1747-1787, August.
    20. Sumit Agarwal & Yongheng Deng & Jia He, 2020. "Time Preferences, Mortgage Choice and Mortgage Default," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 777-813.
    21. Yuh‐Dauh Lyuu & Yu‐Quan Zhang, 2023. "Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 404-434, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:20:y:1996:i:3:p:511-536. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.