Investing in Commercial Mortgage–Backed Securities

Commercial mortgage–backed securities (CMBS)–securitizations of mortgage loans backed by commercial real estate–have become compelling devices for fixed income investing. This title, edited by renowned financial expert Frank Fabozzi, describes the structure, valuation, and performance of CMBS, illustrates an empirical framework for estimating CMBS defaults, instructs how to value prepayment and credit risks of CMBS, and more.

Spis treści:
Introduction to Commercial Mortgage–Backed Securities (B. Lancaster).
The Commercial Mortgage–Backed Securities Deal (A. Sanders).
Floating–Rate Commercial Mortgage–Backed Securities (P. Corcoran and J. Phillips).
Multifamily Project Securities (E. Daingerfield).
Lehman Brothers′ CMBS Index (S. Berkley and A. Golbin).
The Efficient Frontier for CMBS and Commercial Mortgages Using a Risk–Return Framework (D. Jacob and J. Patel).
Structure, Valuation, and Performance of CMBS (R. Gordon and L. Gibson).
Value and Sensitivity Analysis of CMBS IOs (P. Obazee).
Valuation and Analysis of Credit–Sensitive CMBS Tranches (P. Obazee).
An Empirical Framework for Estimating CMBS Defaults (D. Westhoff, et al.).
Project–Loan Prepayments and Defaults (S. Banerjee, et al.).
Valuing the Prepayment and Credit Risks of Commercial Mortgage Securities (M. Youngblood).
The CMBS Market, Swap Spreads, and Relative Value (B. Lancaster).
The Effect of the Real Estate Cycle on Commercial Mortgage and CMBS Spreads (D. Jacob and C. Hong).
CMBS in Japan (P. Corcoran and J. Phillips).
Index.

Nota biograficzna:
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University′s School of Management.

Okładka tylna:
Commercial mortgage–backed securities (CMBS)–securitizations of mortgage loans backe d by commercial real estate–have become compelling devices for fixed income investing. This title, edited by renowned financial expert Frank Fabozzi, describes the structure, valuation, and performance of CMBS, illustrates an empirical framework for estimating CMBS defaults, instructs how to value prepayment and credit risks of CMBS, and more.