Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring

Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation within and between clusters. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring

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Publisher
Springer US
Copyright
Copyright © 2007 by Springer Science+Business Media, LLC
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
D.O.I.
10.1007/s11146-007-9046-6
Publisher site
See Article on Publisher Site

Abstract

This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation within and between clusters.

Journal

The Journal of Real Estate Finance and EconomicsSpringer Journals

Published: Aug 15, 2007

References

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