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Investing in Commercial Mortgage-Backed Securities »
Authors: Fabozzi, Frank J. Fabozzi
ISBN-13: 9781883249885, ISBN-10: 1883249880
Format: Hardcover
Publisher: Wiley, John & Sons, Incorporated
Date Published: December 2000
Edition: (Non-applicable)
Author Biography: Fabozzi
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.
Book Synopsis
Commercial mortgage-backed securities (CMBS)–securitizations of mortgage loans backed by commercial real estate–have become compelling devices for fixed income investing. This title, edited by renowned financial expert Frank Fabozzi, describes the structure, valuation, and performance of CMBS, illustrates an empirical framework for estimating CMBS defaults, instructs how to value prepayment and credit risks of CMBS, and more.
Table of Contents
| 1 | Introduction to Commercial Mortgage-Backed Securities | 1 |
| 2 | The Commercial Mortgage-Backed Securities Deal | 31 |
| 3 | Floating-Rate Commercial Mortgage-Backed Securities | 43 |
| 4 | Multifamily Project Securities | 59 |
| 5 | Lehman Brothers' CMBS Index | 81 |
| 6 | The Efficient Frontier for CMBS and Commercial Mortgages Using a Risk-Return Framework | 89 |
| 7 | Structure, Valuation, and Performance of CMBS | 97 |
| 8 | Value and Sensitivity Analysis of CMBS IOs | 113 |
| 9 | Valuation and Analysis of Credit-Sensitive CMBS Tranches | 129 |
| 10 | An Empirical Framework for Estimating CMBS Defaults | 167 |
| 11 | Project-Loan Prepayments and Defaults | 175 |
| 12 | Valuing the Prepayment and Credit Risks of Commercial Mortgage Securities | 189 |
| 13 | The CMBS Market, Swap Spreads, and Relative Value | 211 |
| 14 | The Effect of the Real Estate Cycle on Commercial Mortgage and CMBS Spreads | 217 |
| 15 | CMBS in Japan | 229 |
| Index | 257 |
Subjects
Business Books
Professional Finance & Investing Real Estate Investing
Business Books Professional Finance & Investing Securities
Business Books Real Estate Real Estate Investing
Professional Finance & Investing Real Estate InvestingBusiness Books
Professional Finance & Investing SecuritiesBusiness Books
Real Estate Real Estate Investing