Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)
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- Gianluca Marcato & Giovanni Alberto Tira, 2009. "Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics," Real Estate & Planning Working Papers rep-wp2009-04, Henley Business School, Reading University.
- Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
- 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.
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KeywordsCMBS; Default; Structural model;
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