The valuation and securitization of commercial and multifamily mortgages |
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| Institution: | 1. Institute of Environmental Engineering, Polish Academy of Sciences, 34 M. Skłodowska-Curie St., 41-819 Zabrze, Poland;2. The Main School of Fire Service, Faculty of Fire Safety Engineering, 52/54 Słowackiego St., 01-629 Warsaw, Poland;3. Silesian University of Technology, Faculty of Energy and Environmental Engineering, Department of Air Protection, 22B Konarskiego St., 44-100 Gliwice, Poland;4. Faculty of Civil and Environmental Engineering, Warsaw University of Life Sciences, 166 Nowoursynowska St., 02-776 Warsaw, Poland;2. Department of Neurology, Nanjing First Hospital, Nanjing Medical University, Nanjing, Jiangsu Province, China;1. University of Texas at Austin, McCombs School of Business, Austin, TX 78712-1276, United States;2. Barratt Consulting, Berlin, Germany |
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| Abstract: | This paper develops a pricing model capable of accurately valuing commercial mortgages and their mortgage backed securities (MBS). It is the first example in the general literature on mortgage pricing in which the valuation of an MBS is explicitly tied to that of the underlying mortgages, making possible a comparison of the performance of the loans and the securities they back. We have shown that while there are similarities between mortgages and their mortgage backed securities, they act in different ways. In general, it turns out that despite being the more passive asset, the mortgage backed security exhibits the more complicated behavior. |
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