Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring
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DOI: 10.1007/s11146-007-9046-6
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Cited by:
- An, Xudong & Deng, Yongheng & Gabriel, Stuart A., 2011. "Asymmetric information, adverse selection, and the pricing of CMBS," Journal of Financial Economics, Elsevier, vol. 100(2), pages 304-325, May.
- Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
- Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2013. "Local Traits and Securitized Commercial Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 787-813, November.
- Brent Ambrose & Michael Shafer & Yildiray Yildirim, 2018.
"The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties,"
The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 1-32, January.
- Brent Ambrose & Michael Shafer & Yildiray Yildirim, 2015. "The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties," ERES eres2015_299, European Real Estate Society (ERES).
- Pavlos Almanidis & Robin C. Sickles, 2016.
"Banking Crises, Early Warning Models, and Efficiency,"
International Series in Operations Research & Management Science, in: Juan Aparicio & C. A. Knox Lovell & Jesus T. Pastor (ed.), Advances in Efficiency and Productivity, chapter 0, pages 331-364,
Springer.
- Almanidis, Pavlos & Sickles, Robin C., 2015. "Banking Crises, Early Warning Models, and Efficiency," Working Papers 15-006, Rice University, Department of Economics.
- McCollum, Meagan & Milcheva, Stanimira, 2023. "How ‘bad’ is renter protection for institutional investment in multifamily housing?," Journal of Housing Economics, Elsevier, vol. 59(PA).
- Gang-Zhi Fan & Tien Sing & Seow Ong, 2012. "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 110-127, June.
- Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
- 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.
- Liu, Fan & Hua, Zhongsheng & Lim, Andrew, 2015. "Identifying future defaulters: A hierarchical Bayesian method," European Journal of Operational Research, Elsevier, vol. 241(1), pages 202-211.
- Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, September.
- Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn C., 2012. "Mixture cure models in credit scoring: If and when borrowers default," European Journal of Operational Research, Elsevier, vol. 218(1), pages 132-139.
- Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
- Steven Devaney & David Scofield & Fangchen Zhang, 2019. "Only the Best? Exploring Cross-Border Investor Preferences in US Gateway Cities," The Journal of Real Estate Finance and Economics, Springer, vol. 59(3), pages 490-513, October.
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Keywords
Multilevel mixture model; Credit risk; CMBS;All these keywords.
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