Option-Based Prediction of Commercial Mortgage Defaults
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References listed on IDEAS
- James L. Kuhle & Carl H. Walther & Charles H. Wurtzebach, 1986. "The Financial Performance of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 1(1), pages 67-75.
- 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.
- James R. Webb & Jack H. Rubens, 1986. "Portfolio Considerations in the Valuation of Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(3), pages 465-495.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Michael J. Brennan & Eduardo S. Schwartz, 1985. "Determinants of GNMA Mortgage Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 209-228.
- Kaplan, Robert S & Urwitz, Gabriel, 1979. "Statistical Models of Bond Ratings: A Methodological Inquiry," The Journal of Business, University of Chicago Press, vol. 52(2), pages 231-261, April.
- Leon G. Shilton & James R. Webb, 1989. "Commercial Loan Underwriting and Option Valuation," Journal of Real Estate Research, American Real Estate Society, vol. 4(1), pages 1-12.
- Frydman, Halina & Altman, Edward I & Kao, Duen-Li, 1985. " Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress," Journal of Finance, American Finance Association, vol. 40(1), pages 269-291, March.
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- Bradford Case, 2003. "Loss characteristics of commercial real estate loan portfolios," Basel II White Paper 1, Board of Governors of the Federal Reserve System (U.S.).
- Leon Shilton, 2000. "Random Walks and the Cointegration of the ACLI and NCREIF," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(3), pages 435-465.
More about this item
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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