The Handbook of Commercial Mortgage-Backed Securities / Edition 2

by Frank J. Fabozzi, David P. Jacob

Overview

The Handbook of Commercial Mortgage-Backed Securities is a cornerstone reference in this emerging sector of the structured finance market. This Second Edition provides updated coverage of the market, the instruments, the tools used to assess these securities, and tax accounting issues.

In addition to an overview of the commercial real estate finance and commercial property markets, this book also covers property-market framework for bond investors, the role of the servicer, an investor's perspective on commercial mortgage-backed coupon strips, defaults on commercial mortgages, assessing credit risk, an options approach to valuation and risk analysis, legal perspectives on disclosure issues, and federal income taxation.

Product Details

ISBN-13:	9781883249496
Publisher:	Wiley
Publication date:	09/15/1998
Series:	Frank J. Fabozzi Series , #45
Edition description:	REV
Pages:	520
Product dimensions:	6.24(w) x 9.23(h) x 1.42(d)

About the Author

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.

Table of Contents

Contributing Authors.

List of Advertisers.

SECTION I: BACKGROUND.

1. The CMBS Market: Past, Present, and Future (G. Gichon).

2. A Property Market Framework for Bond Investors (P. Corcoran).

3. Commercial Mortgage Default Rates and Loss Severity (R. Pelletier and A. Rudenstein).

SECTION II: CMBS AND STRUCTURING ISSUES.

4. Commercial Mortgage-Backed Securities (J. DeMichele and W. Adams).

5. An Investor's Framework for Modeling and Analyzing CMBS (R. Trepp and J. Savitsky).

6. Structural Considerations Impacting CMBS (J. Dunlevy).

7. How CMBS Structuring Impacts the Performance of the Bond Classes (D. Jacob and L. Tong).

8. Understanding Prepayments in CMBS Deals (D. Cheng, et al.).

9. Investing in Subordinate CMBS Bonds (J. Mathew and E. Katz).

SECTION III: RISK ANALYSIS.

10. CMBS: Developing Risk Management for a New Asset Class (M. Reilly and B. Golub).

11. Evaluating the Risk of Commercial Mortgage-Backed Securities (G. Pappadopoulos and J Fisher).

12. Rating of Commercial Mortgage -Backed Securities (J. Franzetti).

13. Assessing Credit Risk of CMBS (P. Corcoran and D. Kao).

14. Credit-Diven Prepayment and Default Analysis (M. Ervolini, et al.).

15. Understanding and Managing the Balloon Risk of Commercial Mortgages in CMBS (D. Jacob and P. Fastovsky).

SECTION IV: VALUATION AND RELATIVE VALUE ANALYSIS.

16. A Framework for Risk and Relative Value Analysis of CMBS: Theory (D. Jacob, et al.).

17. A Framework for Risk and Relative Value Analysis of CMBS: Practice (D. Jacob and G. Gichon).

18. An Options Approach to Commercial Mortgages and CMBS Valuation and Risk Analysis (D. Jacob, et al.).

19. A Monte Carlo Default Pricing Model for CMBS (G. Pappadopoulos).

20. An Investor's Perspective on Commercial Mortgage-Backed Coupon Strips (K. Gollenberg).

21. High Yield Commercial Mortgage-Backed Securities (D. Jacob and G. Gichon).

SECTION V: ACCOUNTING, TAXES, AND LEGAL ISSUES.

22. The Role of the Trustee (S. Davis, et al.).

23. Performing Financial Due Diligence Associated with Commercial Mortgage Securitizations (D. Baranick and S. Quraishi).

24. Generally Accepted Accounting Principles for Issuers of and Investors in CMBS (D. Baranick and R. Bennett).

25. Federal Income Taxation of REMICs and CMBS (J. Ferst and M. Miyashiro).

Index.

Editorial Reviews

Contributors from investment firms offer 21 papers on such topics as a property-market framework for bond investors, the role of the servicer, an investor's perspective on commercial mortgage- backed coupon strips, defaults on commercial mortgages, assessing credit risk, an options approach to valuation and risk analysis, legal perspectives on disclosure issues, and federal income taxation. Indexed by advertiser as well as topic. Annotation c. by Book News, Inc., Portland, Or.

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