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Loss characteristics of commercial real estate loan portfolios

  • Bradford Case
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    File URL: http://www.federalreserve.gov/generalinfo/basel2/docs2003/cre_060903.pdf
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    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Basel II White Paper with number 1.

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    Date of creation: 2003
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    Handle: RePEc:fip:fedgwp:1
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    1. Leon G. Shilton & John Teall, 1994. "Option-Based Prediction of Commercial Mortgage Defaults," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 219-236.
    2. Kerry D. Vandell & Walter Barnes & David Hartzell & Dennis Kraft & William Wendt, 1993. "Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(4), pages 451-480.
    3. Brian A. Ciochetti & James D. Shilling, 1999. "Default Losses and Commercial Mortgages," Wisconsin-Madison CULER working papers 99-12, University of Wisconsin Center for Urban Land Economic Research.
    4. 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.
    5. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
    6. Brian A. Ciochetti & Yongheng Deng & Bin Gao & Rui Yao, 2002. "The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(4), pages 595-633.
    7. Wayne R. Archer & Peter J. Elmer & David M. Harrison & David C. Ling, 2002. "Determinants of Multifamily Mortgage Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(3), pages 445-473.
    8. Luis C. Mejia, 1999. "Availability of Credit and Loan Default: A Look at the Commercial Mortgage Supply Cycle," Journal of Real Estate Research, American Real Estate Society, vol. 18(1), pages 175-196.
    9. Ciochetti, Brian A, et al, 2003. "A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias," The Journal of Real Estate Finance and Economics, Springer, vol. 27(1), pages 5-23, July.
    10. Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series 1998-47, Board of Governors of the Federal Reserve System (U.S.).
    11. Ambrose, Brent W & Sanders, Anthony B, 2003. "Commercial Mortgage-Backed Securities: Prepayment and Default," The Journal of Real Estate Finance and Economics, Springer, vol. 26(2-3), pages 179-96, March-May.
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