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Commercial Mortgage-backed Securities (CMBS) Terminations, Regional and Property-Type Risk. (2006). Quigley, John ; Deng, Yongheng ; Sanders, Anthony B..
In: Working Paper Series.
RePEc:ecl:ohidic:2006-24.

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  1. Ambrose, B., and A. Sanders. 2003. Commercial Mortgage-backed Securities: Prepayment and Default, Journal of Real Estate Finance and Economics, 26 (2- 3): 179-196.

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  3. Ciochetti, B. and K.A. Vandell. 1999. The Performance of Commercial Mortgages. Real Estate Economics 27:1 27-62.

  4. Ciochetti, B., Y. Deng, B. Gao, and R. Yao. 2002. The Termination of Lending Relationships through Prepayment and Default in Commercial Mortgage Markets: A Proportional Hazard Approach with Competing Risks. Real Estate Economics, 30(4): 595-633.

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  8. Goldberg, L. and C. Capone. 2002. A Dynamic Double-Trigger Model of Multifamily Mortgage Default, Real Estate Economics 30(1): 85-113.

  9. Kau, J. B., D.C. Keenan, W.J. Muller, and J.F. Epperson. 1990. Pricing Commercial Mortgages\and Their Mortgage-Backed Securities. Journal of Real Estate Finance and Economics 3:4 333-356.

  10. Riddiough, T.J., and H.R. Thompson. 1993. Commercial Mortgage Default Pricing with Unobservable Bonower Default Costs. AREUEA Journal 21 256-29 1.

  11. Seslen, T. and W. Wheaton. 2005. Contemporaneous Loan Stress and Termination Risk in the CMBS pool: how Ruthless is Default? University of Southern California, Working paper.

  12. Titman, S. and W. Torous. 1989 Valuing Commercial Mortgages: an Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt, Journal of Finance 44(2).

  13. Vandell, K. W. Barnes, D. Hartzell, D. Kraft, and W. Wendt. 1993. Commercial Mortgage Defaults: Proportional Hazards Estimations Using Individual Loan Histories. AREUEA Journal 21:4 45 1-480.

  14. Vandell, K.D. 1992. Predicting Commercial Mortgage Foreclosure Experience. AREUEA Journal 20:1 55-88.

  15. Yildirim, Y. 2005. Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring. Syracuse University, Working paper.
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