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Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories

Citations

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Cited by:

  1. Grovenstein, Robert A. & Harding, John P. & Sirmans, C.F. & Thebpanya, Sansanee & Turnbull, Geoffrey K., 2005. "Commercial mortgage underwriting: How well do lenders manage the risks?," Journal of Housing Economics, Elsevier, vol. 14(4), pages 355-383, December.
  2. Jun Chen & Yongheng Deng, 2013. "Commercial Mortgage Workout Strategy and Conditional Default Probability: Evidence from Special Serviced CMBS Loans," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 609-632, May.
  3. Eichholtz, Piet & Ongena, Steven & Simeth, Nagihan & Yönder, Erkan, 2023. "Banks, non-banks, and the incorporation of local information in CMBS loan pricing," Journal of Banking & Finance, Elsevier, vol. 154(C).
  4. Anthony Pennington‐Cross & Brent C Smith, 2020. "Early Termination of Small Loans in the Multifamily Mortgage Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1198-1233, December.
  5. An, Xudong & Deng, Yongheng & Sanders, Anthony B., 2006. "Subordinations Levels in Structured Financing," Working Paper Series 2006-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  6. Marcelo Pinheiro & Ms. Deniz O Igan, 2009. "Exposure to Real Estate Losses: Evidence from the US Banks," IMF Working Papers 2009/079, International Monetary Fund.
  7. An, Xudong & Deng, Yongheng & Gabriel, Stuart A., 2011. "Asymmetric information, adverse selection, and the pricing of CMBS," Journal of Financial Economics, Elsevier, vol. 100(2), pages 304-325, May.
  8. Xudong An & John Clapp & Yongheng Deng, 2010. "Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination," The Journal of Real Estate Finance and Economics, Springer, vol. 41(3), pages 245-271, October.
  9. Tracey Seslen & William C. Wheaton, 2010. "Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How “Ruthless” is Default?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 225-255, June.
  10. Brian Ciochetti & James Shilling, 2007. "Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 425-445, May.
  11. Carlos Pestana Barros & Zhongfei Chen & Luis A. Gil-Alana, 2012. "Housing sales in urban Beijing," Applied Economics, Taylor & Francis Journals, vol. 44(34), pages 4495-4504, December.
  12. George H. Lentz & Ko Wang, 1998. "Residential Appraisal and the Lending Process: A Survey of Issues," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 11-40.
  13. Deniz Igan & Marcelo Pinheiro, 2010. "Exposure to Real Estate in Bank Portfolios," Journal of Real Estate Research, American Real Estate Society, vol. 32(1), pages 47-74.
  14. Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2013. "Local Traits and Securitized Commercial Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 787-813, November.
  15. Peng Liu & Daniel Quan, 2013. "Foreclosure of Securitized Commercial Mortgages—A Model of the Special Servicer," The Journal of Real Estate Finance and Economics, Springer, vol. 46(2), pages 321-338, February.
  16. Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2015. "What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 231-253, August.
  17. Tracey Seslen & William C. Wheaton, 2005. "Contemporaneous Loan Stress and Termination Risk in the CMBS pool: how "Ruthless" is default?," Working Paper 8582, USC Lusk Center for Real Estate.
  18. McCollum, Meagan & Milcheva, Stanimira, 2023. "How ‘bad’ is renter protection for institutional investment in multifamily housing?," Journal of Housing Economics, Elsevier, vol. 59(PA).
  19. Richard Chamboko & Jorge Miguel Bravo, 2020. "A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes," Risks, MDPI, vol. 8(2), pages 1-29, June.
  20. Lamont Black & Chenghuan Chu & Andrew Cohen & Joseph Nichols, 2012. "Differences Across Originators in CMBS Loan Underwriting," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 115-134, October.
  21. Varli, Yusuf & Yildirim, Yildiray, 2015. "Default and prepayment modelling in participating mortgages," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 81-88.
  22. Lamont K. Black & Chenghuan Sean Chu & Andrew M. Cohen & Joseph B. Nichols, 2011. "Differences across originators in CMBS loan underwriting," Finance and Economics Discussion Series 2011-05, Board of Governors of the Federal Reserve System (U.S.).
  23. Austin Kelly, 2004. "Modeling the Credit Risk in Agricultural Mortgages: A Critical Review of the Farm Credit Administration’s Credit Risk Model for Farmer Mac," Finance 0409001, University Library of Munich, Germany.
  24. Lamont Black & John Krainer & Joseph Nichols, 2017. "From Origination to Renegotiation: A Comparison of Portfolio and Securitized Commercial Real Estate Loans," The Journal of Real Estate Finance and Economics, Springer, vol. 55(1), pages 1-31, July.
  25. Andrew Felton & Joseph B Nichols, 2012. "Welcome remarks," BIS Papers chapters, in: Bank for International Settlements (ed.), Commercial real estate loan performance at failed US banks, volume 64, pages 19-24, Bank for International Settlements.
  26. Luis C. Mejia, 1999. "Availability of Credit and Loan Default: A Look at the Commercial Mortgage Supply Cycle," Journal of Real Estate Research, American Real Estate Society, vol. 18(1), pages 175-196.
  27. John Clapp & Yongheng Deng & Xudong An, 2005. "Unobserved heterogeneity in Models of Competing Mortgage Termination Risks," Working Paper 8585, USC Lusk Center for Real Estate.
  28. Hoon Cho & Brian Ciochetti & James Shilling, 2013. "Are Commercial Mortgage Defaults Affected by Tax Considerations?," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 1-23, January.
  29. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
  30. Jonathan B. Dressler & Jeffrey R. Stokes, 2010. "Survival analysis and mortgage termination at AgChoice ACA," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 70(1), pages 21-36, May.
  31. Deng, Yongheng & Quigley, John M. & Sanders, Anthony B., 2006. "Commercial Mortgage-backed Securities (CMBS) Terminations, Regional and Property-Type Risk," Working Paper Series 2006-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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