Determinants of commercial mortgage-backed securities credit ratings : Australian evidence
Chikolwa, Bwembya & Chan, Felix (2008) Determinants of commercial mortgage-backed securities credit ratings : Australian evidence. International Journal of Strategic Property Management, 12(2), pp. 69-94.
Using artificial neural networks (ANN) and ordinal regression (OR) as alternative methods to predict Commercial Mortgage-backed Securities (CMBS) credit ratings, we examine the role that various financial and industry-based variables have on CMBS credit ratings issued by Standard and Poor’s from 1999-2005. Our OR results show that rating agencies use only a subset of variables they describe or indicate as important to CMBS credit rating as some of the variables they use were statistically insignificant. Overall, ANN show superior results to OR in predicting CMBS credit ratings.
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|Item Type:||Journal Article|
|Additional Information:||The contents of this journal can be freely accessed online via the journal’s web page (see hypertext link). SSRN papers and download stats at Author link below|
|Keywords:||Commercial mortgage-backed securities, Credit rating prediction, Ordinal regression, Artificial neural networks|
|Subjects:||Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Finance (150201)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > COMMERCIAL SERVICES (150400) > Real Estate and Valuation Services (150403)
|Divisions:||Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering
Current > Schools > School of Economics & Finance
Past > Schools > School of Urban Development
|Copyright Owner:||Copyright 2008 Vilnius Gediminas Technical University|
|Deposited On:||25 Mar 2009 23:08|
|Last Modified:||29 Feb 2012 13:52|
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