2026-09-21T12:28:08Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/357512022-01-13T07:54:44Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
Timothy J. Riddiough.
Cavallo, Malik, 1971-
Kinyua, Josphat K
Massachusetts Institute of Technology. Dept. of Urban Studies and Planning.
Massachusetts Institute of Technology. Department of Urban Studies and Planning
2007-01-22T17:59:45Z
2007-01-22T17:59:45Z
1999
1999
http://hdl.handle.net/1721.1/35751
56025427
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).
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.
by Malik Cavallo and Josphat K. Kinyua.
S.M.
92 leaves
3681172 bytes
3680968 bytes
application/pdf
application/pdf
eng
Massachusetts Institute of Technology
M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.
http://dspace.mit.edu/handle/1721.1/7582
Urban Studies and Planning.
We know what the CMBS did last summer and why
We know what the Commercial Mortgage-Backed Securities Market did last summer and why
Thesis
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<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.</Abstract>
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