Default Prediction For Commercial Mortgage Backed Securities

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Title: Default Prediction For Commercial Mortgage Backed Securities
Author: Dudley, James Scott
Abstract: Commercial mortgage default has become a topic of interest for a large number of parties due to the emergence and continued growth of the secondary mortgage market . With the multitude of parties holding a vested interest , it is important to develop a highly efficient method of monitoring collateral performance and ultimately be able to confidently predict or anticipate default . This study shows the correlation between appearance of a loan on a Watchlist and its potential to become delinquent in the future . While testing this hypothesis , a model is created that incorporates several other variables readily used to predict collateral performance for commercial mortgages and specifically commercial mortgage backed securities . Implementing the use of logistic regression , two models are created to show the level of correlation and significance with delinquency . Also , a model with a high level of explanatory power from a selected group of variables is created . The results are provided and analytical commentary on their impact is discussed in detail .
URI: http : / /hdl .handle .net /10106 /40
Date: 2007-08-23


Default Prediction For Commercial Mortgage Backed Securities. Available electronically from http : / /hdl .handle .net /10106 /40 .

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