Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27868
Authors: 
Heidorn, Thomas
Pleißner, Mathias
Year of Publication: 
2008
Series/Report no.: 
Working paper series // Frankfurt School of Finance & Management 101
Abstract: 
This paper tracks a structured financial innovation, the commercial mortgage-backed security which is not as novel as current discussion around the sub-prime crisis let assume. However, CMBS as credit-derivatives feature various factors that influence the risks arising from a commercial-mortgage credit agreement as well as marked-risks influenced by economy and marked behaviour. Risks of CMBS are generally evaluated by rating agencies, but volatile market prices show, that investors have different views of risks arising from commercial mortgage-backed securities. Within this paper six determinants are presented that have significant influence on the CMBS spread. The results show that prepayment risks do not seem to have any influence on CMBS pricing, however the economical situation as well as credit enhancement is of high importance. This also shows that enhancement is only one variable that counts for investors as they obviously have a sophisticated view. The defined determinants provide the basis to a linear regression-equation that allows an estimation on CMBS prices.
Subjects: 
CMBS Spread
Commercial Mortgage-Backed Securities
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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