Commercial Mortgage-Backed Securities: Prepayment and Default

Posted: 14 Aug 2002

See all articles by Brent W. Ambrose

Brent W. Ambrose

Pennsylvania State University

Anthony B. Sanders

George Mason University - School of Business

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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

Ambrose, Brent W. and Sanders, Anthony Bown, Commercial Mortgage-Backed Securities: Prepayment and Default. Available at SSRN: https://ssrn.com/abstract=319886

Brent W. Ambrose (Contact Author)

Pennsylvania State University ( email )

University Park, PA 16802-3306
United States
814-867-0066 (Phone)
814-865-6284 (Fax)

Anthony Bown Sanders

George Mason University - School of Business ( email )

Fairfax, VA 22030
United States

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