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Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt

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References

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1999Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options205 cited

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1997Pricing Mortgage Default and Foreclosure Delay153 cited

1998Modeling the Conditional Probability of Foreclosure in the Context of Single‐Family Mortgage Default Resolutions134 cited

2003Commercial Mortgage-Backed Securities: Prepayment and Default126 cited

2018Deep Learning for Mortgage Risk125 cited

2020Deep Learning for Mortgage Risk*105 cited

1993Transaction Costs, Suboptimal Termination and Default Probabilities101 cited

1993Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories95 cited

2005Determinants of Credit Spreads in Commercial Mortgages91 cited

1990Pricing commercial mortgages and their mortgage-backed securities91 cited

1996Cost-benefit analysis of single-family foreclosure alternatives87 cited

1994Waiting to Default: The Value of Delay87 cited

2000Estimating and Pricing Credit Risk: An Overview85 cited

2006Theory and Evidence on the Resolution of Financial Distress81 cited

2003A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias81 cited

1993Handing Over the Keys: A Perspective on Mortgage Default Research79 cited