Advanced Search
MyIDEAS: Login

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

Contents:

Author Info

  • Heidorn, Thomas
  • Pleißner, Mathias

Abstract

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. --

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://econstor.eu/bitstream/10419/27868/1/584043457.PDF
Download Restriction: no

Bibliographic Info

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

as in new window
Length:
Date of creation: 2008
Date of revision:
Handle: RePEc:zbw:fsfmwp:101

Contact details of provider:
Postal: Sonnemannstraße 9-11, 60314 Frankfurt am Main
Phone: 069 154008-0
Web page: http://www.frankfurt-school.de/
More information through EDIRC

Related research

Keywords: CMBS Spread; Commercial Mortgage-Backed Securities;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

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

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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:101. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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