Investing in Commercial Mortgage-Backed Securities

Overview

Commercial mortgage-backed securities (CMBS)-securitizations of mortgage loans backed by commercial real estate-have become compelling devices for fixed income investing. This title, edited by renowned financial expert Frank Fabozzi, describes the structure, valuation, and performance of CMBS, illustrates an empirical framework for estimating CMBS defaults, instructs how to value prepayment and credit risks of CMBS, and more.

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Overview

Commercial mortgage-backed securities (CMBS)-securitizations of mortgage loans backed by commercial real estate-have become compelling devices for fixed income investing. This title, edited by renowned financial expert Frank Fabozzi, describes the structure, valuation, and performance of CMBS, illustrates an empirical framework for estimating CMBS defaults, instructs how to value prepayment and credit risks of CMBS, and more.

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What People Are Saying

From the Publisher
"Frank Fabozzi's series is the gold standard for investment reference books. Always topical and often influential this is the first place I send students or practitioners when they want to get up to speed on a new area." (Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, Sloan School, MIT)

"The Fabozzi series provides the ultimate educational encyclopedia for the global debt capital markets. Each day, billions of dollars of debt securities trade around the world according to the principles clearly and comprehensively explained in this unrivaled series dedicated to the advancement of our knowledge-based profession." (Jack Malvey, Managing Director, Chief Global Fixed-Income Strategist, Lehman Brothers)

"When in doubt, you can always look it up in a book by Frank Fabozzi. Fabozzi, who's not called the Prolific Professor for nothing, has written or edited dozens of textbooks on investing—all rock-solid, for advanced investors only." (Jason Zwieg, Money.com)

Stephen A. Ross
Frank Fabozzi's series is the gold standard for investment reference books. Always topical and often influential this is the first place I send students or practitioners when they want to get up to speed on a new area.(Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, Sloan School, MIT)
Jack Malvey
The Fabozzi series provides the ultimate educational encyclopedia for the global debt capital markets. Each day, billions of dollars of debt securities trade around the world according to the principles clearly and comprehensively explained in this unrivaled series dedicated to the advancement of our knowledge-based profession.(Jack Malvey, Managing Director, Chief Global Fixed-Income Strategist, Lehman Brothers)
Jason Zwieg
When in doubt, you can always look it up in a book by Frank Fabozzi. Fabozzi, who's not called the Prolific Professor for nothing, has written or edited dozens of textbooks on investing—all rock-solid, for advanced investors only.(Jason Zwieg, Money.com)
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Product Details

  • ISBN-13: 9781883249885
  • Publisher: Wiley
  • Publication date: 12/18/2000
  • Series: Frank J. Fabozzi Series , #79
  • Edition number: 1
  • Pages: 269
  • Product dimensions: 6.14 (w) x 9.21 (h) x 0.63 (d)

Meet the Author

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

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Table of Contents

Introduction to Commercial Mortgage-Backed Securities (B. Lancaster).

The Commercial Mortgage-Backed Securities Deal (A. Sanders).

Floating-Rate Commercial Mortgage-Backed Securities (P. Corcoran and J. Phillips).

Multifamily Project Securities (E. Daingerfield).

Lehman Brothers' CMBS Index (S. Berkley and A. Golbin).

The Efficient Frontier for CMBS and Commercial Mortgages Using a Risk-Return Framework (D. Jacob and J. Patel).

Structure, Valuation, and Performance of CMBS (R. Gordon and L. Gibson).

Value and Sensitivity Analysis of CMBS IOs (P. Obazee).

Valuation and Analysis of Credit-Sensitive CMBS Tranches (P. Obazee).

An Empirical Framework for Estimating CMBS Defaults (D. Westhoff, et al.).

Project-Loan Prepayments and Defaults (S. Banerjee, et al.).

Valuing the Prepayment and Credit Risks of Commercial Mortgage Securities (M. Youngblood).

The CMBS Market, Swap Spreads, and Relative Value (B. Lancaster).

The Effect of the Real Estate Cycle on Commercial Mortgage and CMBS Spreads (D. Jacob and C. Hong).

CMBS in Japan (P. Corcoran and J. Phillips).

Index.

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