Xudong An

Federal Reserve Banks - Federal Reserve Bank of Philadelphia

Ten Independence Mall

Philadelphia, PA 19106-1574

United States

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SCHOLARLY PAPERS

24

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53

Scholarly Papers (24)

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1.

Unobserved Heterogeneity in Models of Competing Mortgage Termination

Number of pages: 41 Posted: 05 Mar 2004
John M. Clapp, Xudong An and Yongheng Deng
University of Connecticut - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Wisconsin School of Business, University of Wisconsin-Madison
Downloads 736 (36,158)
Citation 1

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Mortgage termination risks, Cox Proportional Hazard Model (CPH), Multinomial Logit Model (MNL), Out-of-sample prediction; Unobserved heterogeneity

2.

Value Creation Through Securitization: Evidence from the CMBS Market

Downloads 618 ( 45,692)

Value Creation Through Securitization: Evidence from the CMBS Market

Number of pages: 44 Posted: 22 Feb 2008
Xudong An, Yongheng Deng and Stuart A. Gabriel
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison and University of California, Los Angeles - Anderson School of Management
Downloads 618 (45,056)
Citation 2

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Securitization, commercial mortgage-backed securities, conduit loans, portfolio loans, mortgage-treasury rate spread, simultaneous equation model

Value Creation Through Securitization: Evidence from the CMBS Market

Journal of Real Estate Finance and Economics, Vol. 38, No. 3, 2009
Posted: 15 Nov 2008
Xudong An, Yongheng Deng and Stuart A. Gabriel
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison and University of California, Los Angeles - Anderson School of Management

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securitization, commercial mortgage-backed securities (CMBS), conduit loans, portfolio loans, mortgage-treasury rate spread, simultaneous equation model

3.

Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination

Number of pages: 48 Posted: 22 Sep 2005
Xudong An, Yongheng Deng and John M. Clapp
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison and University of Connecticut - Department of Finance
Downloads 381 (82,995)
Citation 6

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Mortgage termination risks, Multinomial Logit Model (MNL), Nested Logit Model (NMNL), Mobility, Refinance, Default

4.

Macroeconomic Growth, Real Estate Market Conditions, and the Time Series Dynamics of CMBS Loan Default Risk

Number of pages: 59 Posted: 25 Mar 2008 Last Revised: 15 May 2009
Xudong An
Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 360 (88,624)

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Default risk, CMBS, first-passage model, default hazard rate, Cox proportional hazard model, state space model, extended Kalman filter

5.

Macroeconomic Conditions, Systematic Risk Factors, and the Time Series Dynamics of Commercial Mortgage Credit Risk

Number of pages: 59 Posted: 17 Jul 2007
Xudong An
Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 349 (91,832)
Citation 4

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Credit risk, commercial mortgage,first-passage model, default hazard rate, Cox proportional hazard model, state space model, extended Kalman filter

6.

Policy Incentives and the Extension of Mortgage Credit: Increasing Market Discipline for Subprime Lending

Number of pages: 36 Posted: 16 Jun 2008
Xudong An and Raphael W. Bostic
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta
Downloads 254 (129,366)
Citation 2

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Subprime lending, government-sponsored enterprise (GSE), affordable housing goals, mortgage credit, cost savings

7.

Commercial Real Estate Rental Index: A Dynamic Panel Data Model Estimation

Downloads 240 (136,922)
Citation 1

Commercial Real Estate Rental Index: A Dynamic Panel Data Model Estimation

Number of pages: 42 Posted: 23 Jan 2013
Xudong An, Yongheng Deng, Jeffrey D. Fisher and Maggie Rong Hu
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison, Indiana University - Kelley School of Business - Department of Finance and Chinese University of Hong Kong
Downloads 240 (136,409)
Citation 2

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Commercial Real Estate Rental Index: A Dynamic Panel Data Model Estimation

Real Estate Economics, Vol. 44, Issue 2, pp. 378-410, 2016
Number of pages: 33 Posted: 11 Apr 2016
Xudong An, Yongheng Deng, Jeffrey D. Fisher and Maggie Rong Hu
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison, Indiana University - Kelley School of Business - Department of Finance and Chinese University of Hong Kong
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Commercial Real Estate Rental Index: A Dynamic Panel Data Model Estimation

Real Estate Economics, Forthcoming
Posted: 08 Jun 2014
Yongheng Deng, Jeffrey D. Fisher, Maggie Rong Hu and Xudong An
Wisconsin School of Business, University of Wisconsin-Madison, Indiana University - Kelley School of Business - Department of Finance, Chinese University of Hong Kong and Federal Reserve Banks - Federal Reserve Bank of Philadelphia

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rental index, cap rate, commercial real estate, dynamic panel data model

8.

Default Risk of CMBS Loans: What Explains the Regional Variations?

Number of pages: 40 Posted: 06 Sep 2010
Xudong An, Yongheng Deng and Anthony B. Sanders
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison and George Mason University - School of Business
Downloads 221 (148,351)
Citation 1

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default risk, CMBS loan, regional variation, hazard model, martingale residual

9.

Asymmetric Information, Adverse Selection, and the Pricing of CMBS

Number of pages: 61 Posted: 18 Jun 2010 Last Revised: 09 Apr 2011
Xudong An, Yongheng Deng and Stuart A. Gabriel
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison and University of California, Los Angeles - Anderson School of Management
Downloads 205 (159,201)
Citation 24

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CMBS, conduit lending, asymmetric information, lemons discount

10.

What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-Backed Securities (CMBS)

Downloads 197 (165,235)
Citation 2

What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-Backed Securities (CMBS)

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 40 Posted: 19 Nov 2010 Last Revised: 21 Jul 2015
Xudong An, Yongheng Deng, Joseph Nichols and Anthony B. Sanders
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison, Board of Governors of the Federal Reserve System and George Mason University - School of Business
Downloads 197 (165,074)
Citation 2

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What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-Backed Securities (CMBS)

Journal of Real Estate Finance and Economics, Vol. 51, No. 2, 2015
Posted: 04 Sep 2015
Xudong An, Yongheng Deng, Joseph Nichols and Anthony B. Sanders
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison, Board of Governors of the Federal Reserve System and George Mason University - School of Business

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Commercial mortgage-backed securities (CMBS); Subordination; Credit risk; Credit rating agency (CRA)

11.

Model Stability and the Subprime Mortgage Crisis

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 43 Posted: 14 Sep 2010
Xudong An, Yongheng Deng, Eric Rosenblatt and Vincent Yao
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison, Federal National Mortgage Association (Fannie Mae) - Research and Georgia State University - J. Mack Robinson College of Business
Downloads 189 (171,554)
Citation 1

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Subprime Mortgage, Default Risk, Model Stability, Hazard Model, Logit Model

12.

Financial Literacy and Mortgage Credit: Evidence from the Recent Mortgage Market Crisis

Number of pages: 52 Posted: 18 Jul 2015
Xudong An, Raphael W. Bostic and Vincent Yao
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Atlanta and Georgia State University - J. Mack Robinson College of Business
Downloads 131 (233,474)
Citation 2

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financial literacy, mortgage credit, mortgage choice, borrowing cost, default, prepayment

13.

Asymmetric Information and Subprime Mortgage Default

Number of pages: 34 Posted: 15 Nov 2015
Xudong An, A. Quang Do, Timothy J. Riddiough and Vincent Yao
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, San Diego State University, University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and Georgia State University - J. Mack Robinson College of Business
Downloads 101 (281,709)

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excess premium, soft information, adverse selection, subprime mortgage

14.

Default Option Exercise Over the Financial Crisis and Beyond

Number of pages: 54 Posted: 15 Apr 2016 Last Revised: 05 Nov 2019
Xudong An, Yongheng Deng and Stuart A. Gabriel
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison and University of California, Los Angeles - Anderson School of Management
Downloads 86 (312,008)
Citation 5

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Mortgage default; option exercise; default option beta; time-varying coefficient hazard model; HAMP

15.

Default of Commercial Mortgage Loans during the Financial Crisis

46th Annual AREUEA Conference Paper
Number of pages: 48 Posted: 01 Dec 2010 Last Revised: 21 Jul 2015
Xudong An and Anthony B. Sanders
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and George Mason University - School of Business
Downloads 84 (316,653)
Citation 2

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16.

Credit Expansion, Competition, and House Prices

Number of pages: 45 Posted: 03 Sep 2016 Last Revised: 17 Nov 2016
Xudong An and Vincent Yao
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Georgia State University - J. Mack Robinson College of Business
Downloads 77 (333,424)
Citation 3

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Conforming loan limit; credit supply; financial crisis

17.

Regime Shift and the Post-Crisis World of Mortgage Loss Severities

FRB of Philadelphia Working Paper No. 17-8
Number of pages: 46 Posted: 10 Apr 2017
Xudong An and Larry Cordell
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 63 (371,788)

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mortgages, housing market, government intervention

18.

Cash Flow Performance of Fannie Mae Multifamily Real Estate: Evidence from Repeated NOI and EGI Indices

Journal of Real Estate Finance and Economics, Forthcoming, Kelley School of Business Research Paper No. 15-55
Number of pages: 48 Posted: 22 Jul 2015
Xudong An, Jeffrey D. Fisher and David Geltner
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Indiana University - Kelley School of Business - Department of Finance and Massachusetts Institute of Technology (MIT)
Downloads 49 (417,961)

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19.

Pulling the Trigger: Default Option Exercise Over the Business Cycle

Number of pages: 45 Posted: 20 Sep 2014
Xudong An, Yongheng Deng and Stuart A. Gabriel
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison and University of California, Los Angeles - Anderson School of Management
Downloads 43 (440,789)
Citation 1

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20.

Mortgage Loss Severities: What Keeps Them so High?

FRB of Philadelphia Working Paper No. 19-19
Number of pages: 49 Posted: 19 Mar 2019 Last Revised: 29 Apr 2020
Xudong An and Larry Cordell
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 21 (550,623)

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loss-given default (LGD), foreclosure timelines, regulatory changes, Heckman two-stage correction, accelerated failure time model

21.

Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks

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Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks

Real Estate Economics, Vol. 34, No. 2, pp. 243-273, Summer 2006
Number of pages: 31 Posted: 20 Nov 2006
John M. Clapp, Xudong An and Yongheng Deng
University of Connecticut - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Wisconsin School of Business, University of Wisconsin-Madison
Downloads 18 (589,762)
Citation 2
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Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks

Real Estate Economics, Forthcoming
Posted: 25 Jan 2006 Last Revised: 30 Dec 2013
John M. Clapp, Yongheng Deng and Xudong An
University of Connecticut - Department of Finance, Wisconsin School of Business, University of Wisconsin-Madison and Federal Reserve Banks - Federal Reserve Bank of Philadelphia

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22.

Local Traits and Securitized Commercial Mortgage Default

Journal of Real Estate Finance and Economics, Vol. 47, No. 4, 2013
Posted: 15 Nov 2013
Xudong An, Yongheng Deng, Joseph Nichols and Anthony B. Sanders
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison, Board of Governors of the Federal Reserve System and George Mason University - School of Business

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Default risk; CMBS loan; Local trait; Hazard model

23.

Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination

Journal of Real Estate Finance and Economics, Vol. 41, No. 3, 2010
Posted: 26 May 2010
Xudong An, John M. Clapp and Yongheng Deng
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of Connecticut - Department of Finance and Wisconsin School of Business, University of Wisconsin-Madison

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Housing Market, Mobility, Mortgage Termination, Multinomial Logit Model

24.

GSE Activity, FHA Feedback, and Implications for the Efficacy of the Affordable Housing Goals

Journal of Real Estate Finance and Economics, Vol. 36, No. 2, 2008
Posted: 16 Oct 2007
Xudong An and Raphael W. Bostic
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta

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affordable housing goals, GSE, FHA, homeownership, underserved neighborhoods, credit rationing