Gail Lee

Credit Suisse First Boston

11 Madison Avenue

New York, NY 10010

United States

  • Credit Suisse First Boston

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A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias

Posted: 04 Feb 2003
Brian A. Ciochetti, Rui Yao, Yongheng Deng, Gail Lee and James D. Shilling
Independent, Baruch College - Department of Economics and Finance, Wisconsin School of Business, University of Wisconsin-Madison, Credit Suisse First Boston and DePaul University

Abstract:

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mortgages, asset pricing, bankruptcy, liquidation, prepayment, default