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

Author(s)
Wang, Xin, S.M. Massachusetts Institute of Technology; Chen, Hongfei
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Massachusetts Institute of Technology. Dept. of Urban Studies and Planning.
Advisor
William C. Wheaton.
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Abstract
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.
Description
Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2007.
 
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
 
Includes bibliographical references (leaves 51-52).
 
Date issued
2007
URI
http://hdl.handle.net/1721.1/42021
Department
Massachusetts Institute of Technology. Department of Urban Studies and Planning
Publisher
Massachusetts Institute of Technology
Keywords
Urban Studies and Planning.
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