Commercial Mortgage‐Backed Security Pricing with Real Estate Liquidity Risk
构建了一个包含房地产流动性摩擦的结构模型，发现流动性冲击会显著影响商业抵押贷款的违约风险，且流动性恶化会放大价格波动、现金支付和利率对违约率的影响，实证结果支持模型预测。
Abstract We propose a structural model with liquidity frictions at the property level for the pricing of commercial mortgages. The model shows that a moderate liquidity shock has a sizable effect on mortgage default risk. The sensitivities of default rates to volatility of property prices, cash payout and interest rates, all increase significantly as liquidity deteriorates. Empirical evidence strongly supports model predictions. The results suggest that failing to account for the effect of real estate illiquidity leads to substantial bias in estimation of default risk, the optimal subordination level and valuation of the structured products.