QUT ePrints

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.

View at publisher

Abstract

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.

Impact and interest:

1 citations in Scopus
Search Google Scholar™
1 citations in Web of Science®

Citation countsare sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

Full-text downloads:

153 since deposited on 25 Mar 2009
44 in the past twelve months

Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.

ID Code: 19156
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
Additional URLs:
Keywords: Commercial mortgage-backed securities, Credit rating prediction, Ordinal regression, Artificial neural networks
ISSN: ISSN 1648-715X
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: 26 Mar 2009 09:08
Last Modified: 29 Feb 2012 23:52

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page