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Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring

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Author Info
Yildiray Yildirim ()
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File URL: http://hdl.handle.net/10.1007/s11146-007-9046-6
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Publisher Info
Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 37 (2008)
Issue (Month): 2 (August)
Pages: 93-111
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Handle: RePEc:kap:jrefec:v:37:y:2008:i:2:p:93-111

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Web page: http://www.springerlink.com/link.asp?id=102945

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Multilevel mixture model; Credit risk; CMBS;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bolstad W. M & Manda S. O, 2001. "Investigating Child Mortality in Malawi Using Family and Community Random Effects: A Bayesian Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 12-19, March. [Downloadable!] (restricted)
  2. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March. [Downloadable!] (restricted)
  3. Brian A. Ciochetti & Yongheng Deng & Bin Gao & Rui Yao, 2002. "The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(4), pages 595-633. [Downloadable!] (restricted)
  4. Ciochetti, Brian A, et al, 2003. "A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias," The Journal of Real Estate Finance and Economics, Springer, vol. 27(1), pages 5-23, July. [Downloadable!] (restricted)
  5. Duolao Wang, Mike Murphy, 1998. "Use of a mixture model for the analysis of contraceptive-use duration among long-term users," Journal of Applied Statistics, Taylor and Francis Journals, vol. 25(3), pages 319-332, June. [Downloadable!] (restricted)
  6. Wayne R. Archer & Peter J. Elmer & David M. Harrison & David C. Ling, 2002. "Determinants of Multifamily Mortgage Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(3), pages 445-473. [Downloadable!] (restricted)
  7. Kau, James B. & Keenan, Donald C. & Muller, Walter III & Epperson, James F., 1987. "The valuation and securitization of commercial and multifamily mortgages," Journal of Banking & Finance, Elsevier, vol. 11(3), pages 525-546, September. [Downloadable!] (restricted)
  8. Kerry D. Vandell, 1992. "Predicting Commercial Mortgage Foreclosure Experience," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(1), pages 55-88. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. James Kau & Donald Keenan & Yildiray Yildirim, 2009. "Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 107-117, August. [Downloadable!] (restricted)
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