We know what the CMBS did last summer and why
Author(s)Cavallo, Malik, 1971-; Kinyua, Josphat K
We know what the Commercial Mortgage-Backed Securities Market did last summer and why
Massachusetts Institute of Technology. Dept. of Urban Studies and Planning.
Timothy J. Riddiough.
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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.
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).
DepartmentMassachusetts Institute of Technology. Dept. of Urban Studies and Planning.
Massachusetts Institute of Technology
Urban Studies and Planning.