Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How "Ruthless" Is Default?
This study analyzes the impact of contemporaneous loan stress on the termination of loans in the commercial mortgage-backed securities pool from 1992 to 2004 using a novel measure, based on changes in net operating incomes and property values at the metropolitan statistical area-property-type-year l...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
American Real Estate and Urban Economics Association
2011
|
| Online Access: | http://hdl.handle.net/1721.1/64730 https://orcid.org/0000-0003-2962-8259 |
| _version_ | 1811087489439367168 |
|---|---|
| author | Seslen, Tracey Wheaton, William C. |
| author2 | Massachusetts Institute of Technology. Center for Real Estate |
| author_facet | Massachusetts Institute of Technology. Center for Real Estate Seslen, Tracey Wheaton, William C. |
| author_sort | Seslen, Tracey |
| collection | MIT |
| description | This study analyzes the impact of contemporaneous loan stress on the termination of loans in the commercial mortgage-backed securities pool from 1992 to 2004 using a novel measure, based on changes in net operating incomes and property values at the metropolitan statistical area-property-type-year level. Employing a semi-parametric competing risks model for a variety of specifications, we find that the probability of default is extremely low even at very high levels of stress, although the coefficient estimates of greatest interest are very statistically significant. These results suggest substantial lender forbearance and are consistent with previous research that models default as a “gradual dynamic process” rather than a “ruthless” exercise once “in the money.” |
| first_indexed | 2024-09-23T13:46:38Z |
| format | Article |
| id | mit-1721.1/64730 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T13:46:38Z |
| publishDate | 2011 |
| publisher | American Real Estate and Urban Economics Association |
| record_format | dspace |
| spelling | mit-1721.1/647302022-09-28T16:06:45Z Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How "Ruthless" Is Default? Seslen, Tracey Wheaton, William C. Massachusetts Institute of Technology. Center for Real Estate Massachusetts Institute of Technology. Department of Economics Wheaton, William C. Wheaton, William C. This study analyzes the impact of contemporaneous loan stress on the termination of loans in the commercial mortgage-backed securities pool from 1992 to 2004 using a novel measure, based on changes in net operating incomes and property values at the metropolitan statistical area-property-type-year level. Employing a semi-parametric competing risks model for a variety of specifications, we find that the probability of default is extremely low even at very high levels of stress, although the coefficient estimates of greatest interest are very statistically significant. These results suggest substantial lender forbearance and are consistent with previous research that models default as a “gradual dynamic process” rather than a “ruthless” exercise once “in the money.” 2011-06-30T19:20:44Z 2011-06-30T19:20:44Z 2010-07 Article http://purl.org/eprint/type/JournalArticle 1540-6229 1080-8620 http://hdl.handle.net/1721.1/64730 Seslen, Tracey, and William C. Wheaton. “Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How ‘Ruthless’ Is Default?” Real Estate Economics 38.2 (2010) : 225-255. https://orcid.org/0000-0003-2962-8259 en_US http://dx.doi.org/10.1111/j.1540-6229.2010.00266.x Real Estate Economics Creative Commons Attribution-Noncommercial-Share Alike 3.0 http://creativecommons.org/licenses/by-nc-sa/3.0/ application/pdf American Real Estate and Urban Economics Association Prof. Wheaton via Kate McNeill |
| spellingShingle | Seslen, Tracey Wheaton, William C. Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How "Ruthless" Is Default? |
| title | Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How "Ruthless" Is Default? |
| title_full | Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How "Ruthless" Is Default? |
| title_fullStr | Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How "Ruthless" Is Default? |
| title_full_unstemmed | Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How "Ruthless" Is Default? |
| title_short | Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How "Ruthless" Is Default? |
| title_sort | contemporaneous loan stress and termination risk in the cmbs pool how ruthless is default |
| url | http://hdl.handle.net/1721.1/64730 https://orcid.org/0000-0003-2962-8259 |
| work_keys_str_mv | AT seslentracey contemporaneousloanstressandterminationriskinthecmbspoolhowruthlessisdefault AT wheatonwilliamc contemporaneousloanstressandterminationriskinthecmbspoolhowruthlessisdefault |