发表状态 | 已发表Published |
题名 | Default Clustering Risks in Commercial Mortgage-Backed Securities |
作者 | |
发表日期 | 2012 |
发表期刊 | Journal of Real Estate Finance and Economics
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ISSN/eISSN | 0895-5638 |
卷号 | 45期号:1页码:110-127 |
摘要 | This paper proposes an intensity-based pricing model with default dependence structure for CMBS bonds. Three features are incorporated into the proposed model. First, default is a Poisson jump process defined by a function of mortgage rating information. Second, property risks are modeled using a high dimensional Brownian motion process that captures both systematic risk and idiosyncratic risk in property value. Third, default dependence structure is built into the extended model. Based on a set of input parameters, we simulate various pricing effects on a hypothetical CMBS using the proposed model structure. The results of the base-line intensity model show that yield spreads on CMBS bonds increase in the recovery rate, but decreases in the hazard rate. Security structured with smaller subordination tranche exposes CMBS bonds to higher default risks. The model predicts that default clustering increases required yield spreads of CMBS bonds. At a 70% recovery rate and a 3% default hazard rate, yield spreads of Junior bonds are expected to increase by 169 basis points when counterparty risks increase by 50%. The results highlight the importance of clustering risks associated with counterparty default when valuing CMBS bonds. © 2011 Springer Science+Business Media, LLC. |
关键词 | Counterparty risk Default cluster Intensity model Subordination structure |
DOI | 10.1007/s11146-011-9315-2 |
URL | 查看来源 |
收录类别 | SSCI |
语种 | 英语English |
WOS研究方向 | Business & Economics ; Urban Studies |
WOS类目 | Business, Finance ; Economics ; Urban Studies |
WOS记录号 | WOS:000305403000007 |
Scopus入藏号 | 2-s2.0-84862604612 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/12591 |
专题 | 个人在本单位外知识产出 |
通讯作者 | Sing, Tien Foo |
作者单位 | 1.Department of Real Estate,Konkuk University,1 Hwayang-dong, Kwangjin-gu,Seoul 143-701,South Korea 2.Department of Real Estate School of Design and Environment,National University of Singapore,4 Architecture Drive,Singapore 117566,Singapore |
推荐引用方式 GB/T 7714 | Fan, Gang-Zhi,Sing, Tien Foo,Ong, Seow Eng. Default Clustering Risks in Commercial Mortgage-Backed Securities[J]. Journal of Real Estate Finance and Economics, 2012, 45(1): 110-127. |
APA | Fan, Gang-Zhi, Sing, Tien Foo, & Ong, Seow Eng. (2012). Default Clustering Risks in Commercial Mortgage-Backed Securities. Journal of Real Estate Finance and Economics, 45(1), 110-127. |
MLA | Fan, Gang-Zhi,et al."Default Clustering Risks in Commercial Mortgage-Backed Securities". Journal of Real Estate Finance and Economics 45.1(2012): 110-127. |
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