| The Journal of Real Estate Finance and Economics | |
| Volume 26, Issue 2, Article 3 (Abstract) | |
| Title: | Commercial Mortgage-backed Securities: Prepayment and Default |
| Author: | Brent Ambrose and Anthony B. Sanders |
| 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 |