Does property market risks matter in commercial mortgage loan pricing : an inquiry into the determinants of commercial mortgage loan spread

The study takes a quantitative approach to test the determinants of commercial mortgage loan pricing at origination. The determinants include capital market risk, property market risks, mortgage terms and property characteristics. Taken into consideration of the endogenous factor between loan spread and LTV ratio, we use the OLS and 2SLS model to examine the variables of driving the spread and LTV and the interaction between them. The conclusion is drawn that there is little linkage between property market risks and commercial mortgage loan spread at origination. Therefore, commercial mortgage is mispriced in terms of property market risks.

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

2007

Authors dc:creator

• Wang, Xin, S.M. Massachusetts Institute of Technology
• Chen, Hongfei

Advisor dc:contributor.advisor

• William C. Wheaton.

• 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/1721.1/42021

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/42021