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An empirical analysis of structuring commercial mortgage-backed securities : Australian evidence

Chikolwa, Bwembya (2006) An empirical analysis of structuring commercial mortgage-backed securities : Australian evidence. In Curtin Business School Doctoral Colloquium, 27-28 April 2006, Perth, WA. (Unpublished)

Abstract

The ultimate goal of structuring Commercial Mortgage-Backed Securities (CMBS) transactions is to obtain a high credit rating as this has an impact on the yield obtainable and the success of the issue. However, issues of proprietorship have resulted in the methodology of credit rating mostly being shrouded in mystery. The methods and input variables used in rating are not publicly disclosed. We use artificial neural networks (ANN) and multinominal logistic regression (MLR) as alternative methods to predict CMBS ratings. ANN shows superior results to MLR in predicting CMBS ratings

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ID Code: 21053
Item Type: Conference Paper
Additional URLs:
Keywords: commercial mortgage-backed securities, credit rating, australia
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
Past > Schools > School of Urban Development
Copyright Owner: Copyright 2006 [please consult the author]
Deposited On: 10 Jun 2009 10:32
Last Modified: 09 Jun 2010 23:43

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