Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt
实证检验了商业抵押贷款的或有债权定价模型，发现该模型能解释样本中不可提前偿还固定利率子弹式抵押贷款的违约溢价大小及期间变化，但模型的风险结构随期限增长不如实际数据陡峭。
ABSTRACT This paper empirically investigates a contingent‐claims model of commercial mortgage pricing. We find that the magnitude of the observed default premia for a sample of nonprepayable fixed rate bullet mortgages can be explained by the contingent‐claims model. In addition, the model explains a significant proportion of the period‐to‐period changes in the default premia. However, given an assumed negative correlation between building value changes and interest rate changes, the model's risk structure tends to increase less steeply with increasing maturity than the observed risk structure.