Macroeconomic conditions, systematic risk factors, and the time series dynamics of commercial mortgage credit risk

摘要: I study the time series dynamics of commercial mortgage credit risk and unobservable systematic factors underlying those dynamics. A first-passage model with equilibrium macroeconomic is presented, default hazard rate solved. The solutions are then put into a state space form estimated real world performance data using extended Kalman filter. Results show large variations over in market, that these well explained by two mean-reverting latent factors. One factor other property market-specific factor. results will be useful prediction, hedging pricing.