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Author: | Childs, P. D. Ott, S. H. Riddiough, T. J. |
Title: | The pricing of multiclass commercial mortgage-backed securities |
Journal: | Journal of Financial and Quantitative Analysis
1996 : DEC, VOL. 31:4, p. 581-603 |
Index terms: | PRICING MORTGAGES SECURITIES |
Language: | eng |
Abstract: | This article considers the valuation of a new and important class of structured debt, the commercial mortgage-backed security. The securities present a unique set of valuation issues that differ from those associated with most other asset-backed securities. An appropriate determination of default risk is critical to accurate commercial mortgage-backed security pricing, meaning that property value underlying each mortgage in the pool must be considered as a state variable. A combined backward/forward simulation approach is employed to value such security, which allows to exploit the independence of borrower default decisions and to overcome dimensionality problems associated with a large number of state variables. |
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