Frailty Models for Commercial Mortgages

Xi Chen; Eric Ghysels; Roland Telfeyan

doi:10.3905/jfi.2016.26.2.016

Frailty Models for Commercial Mortgages

Xi Chen, Eric Ghysels and Roland Telfeyan

The Journal of Fixed Income Fall 2016, 26 (2) 16-31; DOI: https://doi.org/10.3905/jfi.2016.26.2.016

Xi Chen

is a PhD student in the Department of Statistics and Operations Research at the University of North Carolina at Chapel Hill in Chapel Hill, NC.

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For correspondence: xich@live.unc.edu

Eric Ghysels

is the Bernstein Distinguished Professor of Economics and Professor of Finance in the Kenan-Flagler Business School at the University of North Carolina at Chapel Hill in Chapel Hill, NC.

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For correspondence: eghysels@email.unc.edu

Roland Telfeyan

is a managing partner at MBSRISK LLC in New York, NY.

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For correspondence: roland@mbsrisk.com

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The Journal of Fixed Income

Vol. 26, Issue 2

Fall 2016

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Frailty Models for Commercial Mortgages