Xudong An

Federal Reserve Banks - Federal Reserve Bank of Philadelphia

Ten Independence Mall

Philadelphia, PA 19106-1574

United States

SCHOLARLY PAPERS

27

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4,631

SSRN CITATIONS
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Top 12,966

in Total Papers Citations

37

CROSSREF CITATIONS

50

Scholarly Papers (27)

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 738 (38,915)
Citation 1

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

Value Creation Through Securitization: Evidence from the CMBS Market

Number of pages: 44 Posted: 22 Feb 2008
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 619 (48,591)
Citation 3

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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
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 384 (88,482)
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 370 (92,399)

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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 353 (97,507)
Citation 5

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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 (138,784)
Citation 2

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

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

Number of pages: 42 Posted: 23 Jan 2013
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 The Chinese University of Hong Kong
Downloads 250 (140,422)
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
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 The 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
Wisconsin School of Business, University of Wisconsin-Madison, Indiana University - Kelley School of Business - Department of Finance, The 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
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Wisconsin School of Business, University of Wisconsin-Madison and George Mason University - School of Business
Downloads 228 (154,086)
Citation 2

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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
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 209 (167,367)
Citation 27

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CMBS, conduit lending, asymmetric information, lemons discount

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
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 208 (167,908)
Citation 4

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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
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
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 (183,659)

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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
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Atlanta and Georgia State University - J. Mack Robinson College of Business
Downloads 142 (233,908)

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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
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 110 (283,302)

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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: 01 Sep 2020
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 97 (308,511)
Citation 4

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

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 97 (308,511)
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 85 (335,296)
Citation 2

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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 70 (377,669)

Abstract:

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mortgages, housing market, government intervention

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 47 (465,349)

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

Mortgage Loss Severities: What Keeps Them so High?

FRB of Philadelphia Working Paper No. 20-37
Number of pages: 50 Posted: 28 Sep 2020
Xudong An and Larry Cordell
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 7 (712,582)

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

19.

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
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Indiana University - Kelley School of Business - Department of Finance and Massachusetts Institute of Technology (MIT)
Downloads 51 (437,467)
Citation 1

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20.

Pulling the Trigger: Default Option Exercise Over the Business Cycle

Number of pages: 45 Posted: 20 Sep 2014
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 44 (465,092)
Citation 1

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Bank Stress Test Results and Their Impact on Consumer Credit Markets

Number of pages: 83 Posted: 05 Aug 2020
National University of Singapore, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Philadelphia
Downloads 22 (597,872)

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bank stress tests, credit supply, cost of credit, credit usage, credit performance, credit cards, mortgages, home equity lines of credit

Bank Stress Test Results and Their Impact on Consumer Credit Markets

FRB of Philadelphia Working Paper No. 20-30
Number of pages: 84 Posted: 03 Aug 2020
National University of Singapore, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Philadelphia
Downloads 14 (657,278)

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bank stress tests, credit supply, cost of credit, credit usage, credit performance, credit cards

22.

Eviction Risk of Rental Housing: Does it Matter How Your Landlord Finances the Property?

Number of pages: 53 Posted: 19 Dec 2020
Pennsylvania State University, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of Illinois at Chicago
Downloads 25 (560,133)

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Evictions, Rental Housing, Multifamily Mortgages, GSE, COVID-19

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 (626,960)
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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24.

Green Buildings in Commercial Mortgageā€Backed Securities: The Effects of Leed and Energy Star Certification on Default Risk and Loan Terms

Real Estate Economics, Vol. 48, Issue 1, pp. 7-42, 2020
Number of pages: 36 Posted: 04 Jun 2020
Xudong An and Gary Pivo
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of Arizona
Downloads 0 (753,933)
Citation 1
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25.

Local Traits and Securitized Commercial Mortgage Default

Journal of Real Estate Finance and Economics, Vol. 47, No. 4, 2013
Posted: 15 Nov 2013
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

26.

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

Abstract:

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Housing Market, Mobility, Mortgage Termination, Multinomial Logit Model

27.

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

Abstract:

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