Extreme events and the copula pricing of commercial mortgage-backed securities

• Main Authors: Liu, Zhanyong, FAN, Gang-Zhi, LIM, Kian Guan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: CMBS; Copula model; Extreme events; Heavy tail; Tail dependence; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/1844; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2843/viewcontent/SSRN_id1299215.pdf
• Institution: Singapore Management University

Commercial mortgage-backed securities (CMBS), as a portfolio-based financial product, have gained great popularity in financial markets. This paper extends Childs, Ott and Riddiough’s (J Financ Quant Anal, 31(4), 581–603, 1996) model by proposing a copula-based methodology for pricing CMBS bonds. De...