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The Handbook of Commercial Mortgage-Backed Securities

Author
Frank Fabozzi
Type
Book
Link
amazon.com
Cost
Paid
Published
1997
Updated
1998

The Handbook of Commercial Mortgage-Backed Securities is a cornerstone reference in this emerging sector of the structured finance market. The Handbook provides updated coverage of the market, the instruments, the tools used to assess these securities, and tax accounting issues. It also covers the property-market framework for bond investors, the role of the servicer, an investor's perspective on commercial mortgage-backed coupon strips, defaults on commercial mortgages, assessing credit risk, an options approach to valuation and risk analysis, legal perspectives on disclosure issues, and federal income taxation.

Table of Contents

Contributing Authors

List of Advertisers

Section I. Background

  1. The CMBS Market: Past, Present, and Future (G. Gichon)

  2. A Property Market Framework for Bond Investors (P. Corcoran)

  3. Commercial Mortgage Default Rates and Loss Severity (R. Pelletier and A. Rudenstein)

Section II. CMBS and Structuring Issues

  1. Commercial Mortgage-Backed Securities (J. DeMichele and W. Adams)

  2. An Investor's Framework for Modeling and Analyzing CMBS (R. Trepp and J. Savitsky)

  3. Structural Considerations Impacting CMBS (J. Dunlevy)

  4. How CMBS Structuring Impacts the Performance of the Bond Classes (D. Jacob and L. Tong)

  5. Understanding Prepayments in CMBS Deals (D. Cheng, et al.)

  6. Investing in Subordinate CMBS Bonds (J. Mathew and E. Katz)

Section III. Risk Analysis

  1. CMBS: Developing Risk Management for a New Asset Class (M. Reilly and B. Golub)

  2. Evaluating the Risk of Commercial Mortgage-Backed Securities (G. Pappadopoulos and J Fisher)

  3. Rating of Commercial Mortgage -Backed Securities (J. Franzetti)

  4. Assessing Credit Risk of CMBS (P. Corcoran and D. Kao)

  5. Credit-Diven Prepayment and Default Analysis (M. Ervolini, et al.)

  6. Understanding and Managing the Balloon Risk of Commercial Mortgages in CMBS (D. Jacob and P. Fastovsky)

Section IV. Valuation and Relative Value Analysis

  1. A Framework for Risk and Relative Value Analysis of CMBS: Theory (D. Jacob, et al.)

  2. A Framework for Risk and Relative Value Analysis of CMBS: Practice (D. Jacob and G. Gichon)

  3. An Options Approach to Commercial Mortgages and CMBS Valuation and Risk Analysis (D. Jacob, et al.)

  4. A Monte Carlo Default Pricing Model for CMBS (G. Pappadopoulos)

  5. An Investor's Perspective on Commercial Mortgage-Backed Coupon Strips (K. Gollenberg)

  6. High Yield Commercial Mortgage-Backed Securities (D. Jacob and G. Gichon)

Section V. Accounting, Taxes, and Legal Issues

  1. The Role of the Trustee (S. Davis, et al.)

  2. Performing Financial Due Diligence Associated with Commercial Mortgage Securitizations (D. Baranick and S. Quraishi)

  3. Generally Accepted Accounting Principles for Issuers of and Investors in CMBS (D. Baranick and R. Bennett)

  4. Federal Income Taxation of REMICs and CMBS (J. Ferst and M. Miyashiro)

Index

Warnings and Disclaimers

The information contained herein is obtained from sources believed to be reliable, but its accuracy cannot be guaranteed. It is not designed to meet your personal financial situation - we are not investment advisors nor do we give personalized investment advice. The opinions expressed herein are those of the publisher and are subject to change without notice. It may become outdated an there is no obligation to update any such information.

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