A Dynamic Double‐Trigger Model of Multifamily Mortgage Default
提出一个结合权益和现金流考虑的双触发违约模型，利用当地市场条件计算违约概率，并通过1980-1990年代多户住宅贷款数据验证模型优势。
This study advances the commercial mortgage literature by providing theory and methods for incorporating both equity and cash‐flow considerations in default models. We use local market conditions to compute a (joint) probability that default is in‐the‐money, based on both equity and cash‐flow considerations. Statistical analysis is performed using data on multifamily mortgages originated in the 1980s and early 1990s. Simulations based on statistical modeling show advantages of the probabilistic double‐trigger approach over other measures of equity and cash flow.