Default prediction for commercial mortgage backed securities.

摘要

Commercial mortgage default has become a topic of interest for a large number of parties due to the emergence and continued growth of the secondary mortgage market. With the multitude of parties holding a vested interest, it is important to develop a highly efficient method of monitoring collateral performance and ultimately be able to confidently predict or anticipate default.;This study shows the correlation between appearance of a loan on a Watchlist and its potential to become delinquent in the future. While testing this hypothesis, a model is created that incorporates several other variables readily used to predict collateral performance for commercial mortgages and specifically commercial mortgage backed securities.;Implementing the use of logistic regression, two models are created to show the level of correlation and significance with delinquency. Also, a model with a high level of explanatory power from a selected group of variables is created. The results are provided and analytical commentary on their impact is discussed in detail.