Studies On The Default Clustering Risks And Pricing Model In Commercial Mortgage-backed Securities

Commercial mortgage-backed securities, which are brought traditional commercialmortgage together to form a mortgage asset pool, by securitization process, issue toinvestors financing in the form of bonds. It has a low price, after the return of the propertyowner in its sales revenue, the balance uses to repay part of the loan principal and interest,the surplus will be used as working capital of the issuing company. In addition to bankloans, it is a new choice for real estate developer financing. In recent years, thedevelopment of commercial real estate is growing faster, and thus pricing this newsecuritized products study is meaningful study.In this paper, the default correlation is the mainly consideration in commercialmortgage-backed securities, and the counterparty model is introduced for the analysis ofdefault correlation. Based on the Jarrow&Yu’s default correlation models, we adopt theexponential decay function to expand the default correlation models and analyze theirjoint distribution function, and bring a certain degree of difficulty for solving. On themeasure of default correlation analysis, we portray the default correlation by Copulafunction. For the pricing analysis of commercial mortgage-backed securities, we set up thepricing model of CMBS under default clusters by default correlation exponential decaymodel, and the analysis of default intensity under the default clustering, we get the pricingequation of CMBS under Copula correlation measure and analyze the similarities anddifferences between the two pricing models.For the pricing equation given by different methods, the pricing equation underCopula correlation measure has low correlation, and the equation is given for similarresults, but the pricing model under the conditions of the default cluster can describe morecomplex default correlation. For the different default correlation, pricing models havedifferent adaptability.