Delinquencies, Default and Borrowers' Strategic Behavior toward the Modification of Commercial Mortgages

被引：2

作者：

Buschbom, Stephen L. ^{[1
]}

Kau, James B. ^{[2
]}

Keenan, Donald C. ^{[3
]}

Lyubimov, Constantine ^{[4
]}

机构：

[1] Texas Tech Univ, Rawls Coll Business, Area Finance, Lubbock, TX 79409 USA

[2] Univ Georgia, Dept Insurance Legal Studies Real Estate, 285 Brooks Hall, Athens, GA 30602 USA

[3] Univ Cergy Pontoise, THEMA, Cergy, France

[4] State St,1 Lincoln St, Boston, MA USA

来源：

REAL ESTATE ECONOMICS | 2021年 / 49卷 / 03期

关键词：

RENEGOTIATION EVIDENCE; BACKED SECURITIES; TROUBLED DEBT; CMBS; RISK; TERMINATION; PREPAYMENT; CONTRACTS; WORKOUT; MODEL;

D O I：

10.1111/1540-6229.12237

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article constructs a model of mortgage delinquency which tests the extent to which borrowers anticipate a loan modification resulting from such a delinquency. Using a sample of modified loans from commercial mortgage-backed securities (CMBS), we estimate the present value of modified cash flows and project modification benefits each month for all CMBS loans which serve to proxy for a borrower's anticipation of a beneficial modification. Our results confirm a borrower's anticipation of a modification increases the delinquency hazard, and supports the theory that borrower delinquency is strategically endogenous.

引用

页码：936 / 967

页数：32

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