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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
ISSN/eISSN0895-5638
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
DOI10.1007/s11146-011-9315-2
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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
被引频次:5[WOS]   [WOS记录]     [WOS相关记录]
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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