The Handbook of Commercial Mortgage-Backed Securities,9781883249496

The Handbook of Commercial Mortgage-Backed Securities

by Fabozzi, Frank J.; Jacob, David P.
Edition: 2nd
ISBN13: 9781883249496
ISBN10: 188324949X
Format: Hardcover
Pub. Date: 1998-09-15
Publisher(s): Wiley
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Summary

The Handbook of Commercial Mortgage-Backed Securities is a cornerstone reference in this emerging sector of the structured finance market. This Second Edition provides updated coverage of the market, the instruments, the tools used to assess these securities, and tax accounting issues. In addition to an overview of the commercial real estate finance and commercial property markets, this book also covers 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.

Author Biography

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

Table of Contents

Contributing Authors v
List of Advertisers
vi
SECTION I: BACKGROUND 1(70)
The CMBS Market: Past, Present, and Future
3(10)
Galia Gichon
A Property Market Framework for Bond Investors
13(40)
Patrick Corcoran
Commercial Mortgage Default Rates and Loss Severity
53(18)
Rodney Pelletier
Andrew P. Rudenstein
SECTION II: CMBS AND STRUCTURING ISSUES 71(98)
Commercial Mortgage-Backed Securities
73(20)
Joseph F. DeMichele
William J. Adams
An Investor's Framework for Modeling and Analyzing CMBS
93(20)
Richard C. Trepp
James D. Savitsky
Structural Considerations Impacting CMBS
113(16)
John N. Dunlevy
How CMBS Structuring Impacts the Performance of the Bond Classes
129(18)
David P. Jacob
Lynn Tong
Understanding Prepayments in CMBS Deals
147(12)
Da Cheng
Adrian R. Cooper
Jason Huang
Investing in Subordinate CMBS Bonds
159(10)
Jojy Mathew
Elazar Katz
SECTION III: RISK ANALYSIS 169(118)
CMBS: Developing Risk Management for a New Asset Class
171(12)
Margaret M. Reilly
Bennett W. Golub
Evaluating the Risk of Commercial Mortgage-Backed Securities
183(10)
George J. Pappadopoulos
Jeff Fisher
Rating of Commercial Mortgage-Backed Securities
193(54)
Joseph C. Franzetti
Assessing Credit Risk of CMBS
247(18)
Patrick Corcoran
Duen-Li Kao
Credit-Driven Prepayment and Default Analysis
265(10)
Michael A. Ervolini
Harold J. A. Haig
Michael A. Megliola
Understanding and Managing the Balloon Risk of Commercial Mortgages in CMBS
275(12)
David P. Jacob
Peter Fastovsky
SECTION IV: VALUATION AND RELATIVE VALUE ANALYSIS 287(92)
A Framework for Risk and Relative Value Analysis of CMBS: Theory
289(16)
David P. Jacob
Galia Gichon
Dan Lee
Lynn Tong
A Framework for Risk and Relative Value Analysis of CMBS: Practice
305(12)
David P. Jacob
Galia Gichon
An Options Approach to Commercial Mortgages and CMBS valuation and Risk Analysis
317(30)
David P. Jacob
Ted C.H. Hong
Laurence H. Lee
A Monte Carlo Default Pricing Model for CMBS
347(12)
George J. Pappadopoulos
An Investor's Perspective on Commercial Mortgage-Backed Coupon Strips
359(10)
Keith A. Gollenberg
High Yield Commercial Mortgage-Backed Securities
369(10)
David P. Jacob
Galia Gichon
SECTION V: ACCOUNTING, TAXES, AND LEGAL ISSUES 379(114)
The Role of the Trustee
381(16)
Steven Davis
Karen Cook
F. Jim Della Sala
Performing Financial Due Diligence Associated with Commercial Mortgage Securitizations
397(20)
David Baranick
Shahid H. Quraishi
Generally Accepted Accounting Principles for Issuers of and Investors in CMBS
417(24)
David Baranick
Richard Bennett
Federal Income Taxation of REMICs and CMBS
441(52)
Joseph L. Ferst
Milton K. Miyashiro
Index 493

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