On the Assessment of Default Risk in Commercial Mortgage Lending
初步构建了基于实证的商业抵押贷款违约风险评估模型，检验了传统比率分析经验法则的有效性，并提出了改进的比率分析方法。
This paper takes an initial step toward the development of an empirically‐based model of default risk assessment in the commercial mortgage market. A review of existing empirical studies of residential mortgage and commercial loan default provides evidence for appropriate model specification and estimation. A simple default risk model for commercial mortgages is then developed based upon the generalized default risk models of Jackson and Kaserman [1980] and Vandell [1981]. The model is then examined for its ability to successfully handle a variety of situations and used to test the validity of traditional ratio analysis “rules‐of‐thumb” employed in commercial lending. Ratio tests are found generally to be inconsistent with an objective of constraining default risk below some maximum. Finally, a modified ratio analysis consistent with the model and with a constrained default risk strategy is introduced.