Abstract
dc:description.abstractThis paper examines the impact of climate risk on loan pricing in the CMBS loan market in the US. The study reveals that higher levels of risk are associated with increased credit spreads and decreased loan-to-value ratios. Among climate risk indicators, only Trepp’s high property damage indicators show significant effects on loan credit spread. The findings also suggest potential manipulation of climate risk scores. Additionally, natural hazard data was utilized to assess the response of loan pricing to hazards. It was observed that loan prices increased one month after hazards occurred in Arizona and South Carolina, consistent with previous findings.
Degree
thesis:*- Name thesis:degree_name
- M.S., Applied Economics and Management
- Level thesis:degree_level
- Master of Science
- Discipline thesis:degree_discipline
- Applied Economics and Management
- Grantor
- Cornell University
- Year dc:date.issued
- 2024
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Shen, Weiting
- Committee member dc:contributor.committeemember
-
- Mao, Yifei
Rights
- Language dc:language.iso
- en
Identifiers
dc:identifier.*- Dc Identifier Other
-
ProQuest Submission ID: 12176
ProQuest Publication ID: 31484152 - OAI identifier oai:identifier
- oai:ecommons.cornell.edu:1813/116328