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Determinanten europäischer CMBS spreads: ein empirisches Modell zur Bestimmung der Risikoaufschläge von commercial mortgage-backed securities (CMBS)


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  • Heidorn, Thomas
  • Pleißner, Mathias


This paper tracks a structured financial innovation, the commercial mortgage-backed security which is not as novel as current discussion around the sub-prime crisis let assume. However, CMBS as credit-derivatives feature various factors that influence the risks arising from a commercial-mortgage credit agreement as well as marked-risks influenced by economy and marked behaviour. Risks of CMBS are generally evaluated by rating agencies, but volatile market prices show, that investors have different views of risks arising from commercial mortgage-backed securities. Within this paper six determinants are presented that have significant influence on the CMBS spread. The results show that prepayment risks do not seem to have any influence on CMBS pricing, however the economical situation as well as credit enhancement is of high importance. This also shows that enhancement is only one variable that counts for investors as they obviously have a sophisticated view. The defined determinants provide the basis to a linear regression-equation that allows an estimation on CMBS prices. --

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Bibliographic Info

Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 101.

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Date of creation: 2008
Date of revision:
Handle: RePEc:zbw:fsfmwp:101

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Keywords: CMBS Spread; Commercial Mortgage-Backed Securities;


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Cited by:
  1. Herrmann-Pillath, Carsten, 2011. "Revisiting the Gaia hypothesis: Maximum Entropy, Kauffman's 'Fourth Law' and physiosemeiosis," Frankfurt School - Working Paper Series 160, Frankfurt School of Finance and Management.
  2. C. Herrmann-Pillath., 2011. "A Neurolinguistic Approach to Performativity in Economics," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 2.
  3. Kostka, Genia & Hobbs, William, 2010. "Embedded interests and the managerial local state: methanol fuel-switching in China," Frankfurt School - Working Paper Series 152, Frankfurt School of Finance and Management.
  4. Herrmann-Pillath, Carsten, 2010. "The evolutionary approach to entropy: Reconciling Georgescu-Roegen's natural philosophy with the maximum entropy framework," Frankfurt School - Working Paper Series 140, Frankfurt School of Finance and Management.
  5. Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
  6. Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series 164, Frankfurt School of Finance and Management.
  7. Schäffler, Christian & Schmaltz, Christian, 2009. "Market liquidity: an introduction for practitioners," Frankfurt School - Working Paper Series 131, Frankfurt School of Finance and Management.


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