Abstract
This examination of several empirical models that allow for loan seasoning and recession uses data from a recent Fitch CMBS loan default study. Loan seasoning produces a permanent increase in default rates, while the recession bump in defaults is temporary. Thus, different views of the relative importance of seasoning and the recession imply optimistic and pessimistic views of the future.
- © 2002 Pageant Media Ltd
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CMBS Loan Defaults
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