haku: @author Torous, W. / yhteensä: 5
viite: 5 / 5
« edellinen | seuraava »
| Tekijä: | Titman, S. Torous, W. |
| Otsikko: | Valuing commercial mortgages : an empirical investigation of the contingent-claims approach to pricing risky debt. |
| Lehti: | Journal of Finance
1989 : JUN, VOL. 44:2, p. 345-373 |
| Asiasana: | MORTGAGES PRICING CONTINGENCY THEORY FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | A contingent-claims model of commercial mortgage pricing is empirically investigated. The results indicate that the magnitude of the observed default premia for a sample of nonrepayable fixed rate bullet mortgages can be explained by the model. In addition, the model explains a significant proportion of the period-to-period changes in the default premia. However, given an assumed negative correlation between building value changes and interest rate changes, the model's risk structure tends to increase less steeply with increasing maturity than the observed risk structure. |
« edellinen | seuraava »
SCIMA