Commercial Mortgage-Backed Securities: Prepayment and Default

Ambrose, Brent W.; Sanders, Anthony B.

doi:10.2139/ssrn.299298

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Commercial Mortgage-Backed Securities: Prepayment and Default

32 Pages Posted: 4 Feb 2002

See all articles by Brent W. Ambrose

Brent W. Ambrose

Pennsylvania State University - Department of Insurance & Real Estate

Anthony B. Sanders

George Mason University - School of Business

There are 2 versions of this paper

Date Written: August 2001

Abstract

One of the major developments in real estate finance during the 1990s was the emergence of a viable market for commercial mortgage backed securities. The growth in this market has spurred greater interest in empirical and theoretical research on commercial mortgage default and prepayment. We employ a competing risks model to examine the default and prepayment behavior of commercial loans underlying CMBS deals. We find that changes in the yield curve have a direct impact on the probability of mortgage termination. Furthermore, we do not find any statistical relationship between LTV and prepayment or default.

Keywords: Commercial Mortgage-backed Securities, Competing Risks, Prepayment, Default

Suggested Citation: Suggested Citation

Ambrose, Brent W. and Sanders, Anthony Bown, Commercial Mortgage-Backed Securities: Prepayment and Default (August 2001). Available at SSRN: https://ssrn.com/abstract=299298 or http://dx.doi.org/10.2139/ssrn.299298