We know what the CMBS did last summer and why
Name
56025427-MIT.pdf
Description
Full printable version
Size
8.62 MB
Format
Adobe PDF
Checksum (MD5)
f45787f60543549f26ea0aed15454b51
Author(s)
Cavallo, Malik, 1971-
Kinyua, Josphat K
Advisor(s)
Timothy J. Riddiough.
Alternative Title
We know what the Commercial Mortgage-Backed Securities Market did last summer and why
Date Issued
1999
Publisher
Massachusetts Institute of Technology
Abstract
Much has been written about the financial crisis that engulfed the financial markets in the summer and fall of 1998. Little has been written about the effect of this crisis on the fledgling Commercial Mortgage-Backed Securities Market (CMBS). By comparing and contrasting the CMBS market with other comparative fixed-income securities, this thesis establishes that there were specific characteristics of the CMBS market that made it more vulnerable to the market turmoil than other fixed-income securities. First, the thesis seeks to clarify the series of events that culminated in the meltdown of CMBS. We also address CRIIMI MAE, at the time the largest buyer of subordinate CMBS and an emerging player in CMBS issuance, in a case study to assess structural vulnerability in the CMBS market. Finally, we explore the hedging potential of CMBS by regressing a range of domestic and international financial asset prices and various rated CMBS prices during three carefully chosen time periods within the summer and fall crisis period.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1999.
Written by two authors. Cavallo received his degree, Sept. 1999. As of June 2004, Kinyua has not been awarded a degree.
Includes bibliographical references (leaves 76-83).
Subjects
Urban Studies and Planning.
MIT Department
Massachusetts Institute of Technology. Department of Urban Studies and Planning
Terms of Use
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