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首页> 外文期刊>The Journal of real estate finance and economics >Default Clustering Risks in Commercial Mortgage-Backed Securities
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Default Clustering Risks in Commercial Mortgage-Backed Securities

机译：商业抵押支持证券中的默认聚类风险

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摘要

This paper proposes an intensity-based pricing model with default dependence structure for CMBS bonds. Three features are incorporated into the proposed model. First, default is a Poisson jump process defined by a function of mortgage rating information. Second, property risks are modeled using a high dimensional Brownian motion process that captures both systematic risk and idiosyncratic risk in property value. Third, default dependence structure is built into the extended model. Based on a set of input parameters, we simulate various pricing effects on a hypothetical CMBS using the proposed model structure. The results of the base-line intensity model show that yield spreads on CMBS bonds increase in the recovery rate, but decreases in the hazard rate. Security structured with smaller subordination tranche exposes CMBS bonds to higher default risks. The model predicts that default clustering increases required yield spreads of CMBS bonds. At a 70% recovery rate and a 3% default hazard rate, yield spreads of Junior bonds are expected to increase by 169 basis points when counterparty risks increase by 50%. The results highlight the importance of clustering risks associated with counterparty default when valuing CMBS bonds.
机译：本文提出了一种基于违约依赖结构的基于强度的CMBS债券定价模型。所建议的模型包含了三个功能。首先，默认是由抵押贷款评级信息的功能定义的泊松跳跃过程。其次，财产风险是使用高维布朗运动过程建模的，该过程捕获了财产价值中的系统性风险和特质风险。第三，扩展模型内置了默认依赖结构。基于一组输入参数，我们使用提出的模型结构来模拟假设的CMBS的各种定价效应。基线强度模型的结果表明，CMBS债券上的收益率分布提高了回收率，但降低了危害率。具有较小从属档次的结构化证券使CMBS债券面临更高的违约风险。该模型预测默认聚类会增加CMBS债券的所需收益率价差。以70％的回收率和3％的违约风险率，当交易对手风险增加50％时，初级债券的收益率差预计将增加169个基点。结果突出了评估CMBS债券时与交易对手违约相关的风险聚类的重要性。

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