Commercial Mortgage Pricing with Unobservable Borrower Default Costs
为商业房地产抵押贷款开发了一个定价模型，考虑了借款人违约交易成本的异质性和不可观测性，解释了为何违约决策不同于“无情”违约模型，并通过蒙特卡洛模拟得到与市场一致的抵押贷款价格和损失水平。
This paper develops a pricing model for commercial real estate mortgage debt that recognizes the influence of default transaction costs on the borrower's default decision. These costs are heterogeneous across borrowers and largely un‐observable to the lender/investor at the time of origination or loan purchase. A recognition of these unobservable costs can explain why borrower default decisions may differ from those predicted by “ruthless” mortgage‐default pricing models. We address the determinants of default choice and timing by replacing sharp default boundaries found in the ruthless models with “fuzzy” boundaries that account for investor uncertainty with respect to evaluating borrower default decisions. To implement our model, we estimate probabilities of default as a junction of time and net equity in the property. Then, given that default occurs, loss severities are modeled based on expected property value recovery net of foreclosure costs and time until the asset is actually sold. Under reasonable parameter value choices, resulting Monte Carlo simulations produce numerical mortgage price estimates as well as component default frequency and severity levels that realistically reflect default premiums and loss levels observed in the marketplace.