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Pricing commercial mortgage‐backed securities
7 references·0 citing·33 second hop
Pricing commercial mortgage‐backed securities (2001)Pricing commercial mortgage‐backed securi…The impact of default risk on the prices of options and other derivative securities (1995)The impact of default risk on…Waiting to Default: The Value of Delay (1994)Waiting to Default: The Value…Value indices of commercial real estate: A comparison of index construction methods (1994)Value indices of commercial r…Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories (1993)Commercial Mortgage Defaults:…Predicting Commercial Mortgage Foreclosure Experience (1992)Predicting Commercial Mortgag…Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)Valuing Commercial Mortgages:…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Pricing Black-Scholes options with correlated credit risk (1996)Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)The intersection of market and credit risk (2000)FHA Terminations: A Prelude to Rational Mortgage Pricing (1985)The Conditional Probability of Mortgage Default (1998)Asset returns and inflation (1977)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Permanent and Temporary Components of Stock Prices (1988)Price Discovery in American and British Property Markets (1995)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Efficient Mortgage Default Option Exercise: Evidence from Loss Severity (1995)Subprime Refinancing: Equity Extraction and Mortgage Termination (2007)The delinquency of subprime mortgages (2007)An application of the cox proportional hazards model to bank failure (1986)Smoothing in appraisal-based returns (1991)Residential Appraisal and the Lending Process: A Survey of Issues (1998)A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias (2003)Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks (2006)The Journal of Real Estate Finance and Economics (2013)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing Mortgage Default and Foreclosure Delay (1997)Modeling the Conditional Probability of Foreclosure in the Context of Single‐Family Mortgage Default Resolutions (1998)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)
this work references cited by second hop

References

  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1995The impact of default risk on the prices of options and other derivative securities324 cited
  • 1994Value indices of commercial real estate: A comparison of index construction methods286 cited
  • 1989Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt247 cited
  • 1993Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories95 cited
  • 1994Waiting to Default: The Value of Delay87 cited
  • 1992Predicting Commercial Mortgage Foreclosure Experience70 cited

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