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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Basel II White Paper with number 1.

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Date of creation: 2003
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Handle: RePEc:fip:fedgwp:1

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Keywords: Basel capital accord ; Bank capital ; Risk management ; Real property;

References listed on IDEAS
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1. Ambrose, Brent W & Sanders, Anthony B, 2003. "Commercial Mortgage-Backed Securities: Prepayment and Default," The Journal of Real Estate Finance and Economics, Springer, vol. 26(2-3), pages 179-96, March-May. [Downloadable!] (restricted)
2. 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)
3. Luis C. Mejia, 1999. "Availability of Credit and Loan Default: A Look at the Commercial Mortgage Supply Cycle," Journal of Real Estate Research, American Real Estate Society, vol. 18(1), pages 175-196. [Downloadable!]
4. Brian A. Ciochetti & James D. Shilling, 1999. "Default Losses and Commercial Mortgages," Wisconsin-Madison CULER working papers 99-12, University of Wisconsin Center for Urban Land Economic Research. [Downloadable!]
5. 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)
6. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
7. Leon G. Shilton & John Teall, 1994. "Option-Based Prediction of Commercial Mortgage Defaults," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 219-236. [Downloadable!]
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)
9. Kerry D. Vandell & Walter Barnes & David Hartzell & Dennis Kraft & William Wendt, 1993. "Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(4), pages 451-480. [Downloadable!] (restricted)
10. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January. [Downloadable!] (restricted)

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This page was last updated on 2009-11-10.