We know what the CMBS did last summer and why

Much has been written about the financial crisis that engulfed the financial markets in the summer and fall of 1998. Little has been written about the effect of this crisis on the fledgling Commercial Mortgage-Backed Securities Market (CMBS). By comparing and contrasting the CMBS market with other comparative fixed-income securities, this thesis establishes that there were specific characteristics of the CMBS market that made it more vulnerable to the market turmoil than other fixed-income securities. First, the thesis seeks to clarify the series of events that culminated in the meltdown of CMBS. We also address CRIIMI MAE, at the time the largest buyer of subordinate CMBS and an emerging player in CMBS issuance, in a case study to assess structural vulnerability in the CMBS market. Finally, we explore the hedging potential of CMBS by regressing a range of domestic and international financial asset prices and various rated CMBS prices during three carefully chosen time periods within the summer and fall crisis period.

Department dc:contributor.department

Massachusetts Institute of Technology. Dept. of Urban Studies and Planning.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

1999

Authors dc:creator

• Cavallo, Malik, 1971-
• Kinyua, Josphat K

Advisor dc:contributor.advisor

• Timothy J. Riddiough.

• Urban Studies and Planning.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/35751

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/35751