Foreclosure of Securitized Commercial Mortgages - A Model of the Special Servicer
| dc.contributor.author | Liu, Peng | |
| dc.contributor.author | Quan, Daniel | |
| dc.date.accessioned | 2020-09-12T21:13:56Z | |
| dc.date.available | 2020-09-12T21:13:56Z | |
| dc.date.issued | 2011-11-14 | |
| dc.description.abstract | The decision to foreclose on a CMBS mortgage is made by the special servicer. A mortgage loan is in special servicing when it is either delinquent or in a state of imminent default. A special servicer should represent the interests of the underlying CMBS bondholders by returning the highest possible value to the investors. In this paper, we show that a special servicer's compensation structure results in an incentive for her to extend a loan beyond the time desired by its bondholders. We develop a model and demonstrate how compensation incentives interact and influence a special servicer's foreclosure decisions. Our model takes into consideration the dynamic nature of such a decision by viewing is as a dynamic programming problem whereby foreclosure represents a discrete terminal state of an optimal stopping problem. This model thus captures the trade-off between continuation of a loan and termination and we use this model to determine how the stopping rule changes under various compensation structures. | |
| dc.description.legacydownloads | Pl4_Foreclosure.pdf: 63 downloads, before Aug. 1, 2020. | |
| dc.identifier.other | 10500988 | |
| dc.identifier.uri | https://hdl.handle.net/1813/72443 | |
| dc.language.iso | en_US | |
| dc.relation.doi | https://doi.org/10.1007/s11146-011-9337-9 | |
| dc.rights | Required Publisher Statement: © Springer. Final version published as: Liu, P., & Quan, D. (2013). Foreclosure of securitized commercial mortgages - a model of the special servicer. Journal of Real Estate Finance and Economics, 46(2), 321–338. Reprinted with permission. All rights reserved. | |
| dc.subject | CMBS | |
| dc.subject | special servicer | |
| dc.subject | foreclosure | |
| dc.subject | optimal contract design | |
| dc.subject | first-loss bond | |
| dc.title | Foreclosure of Securitized Commercial Mortgages - A Model of the Special Servicer | |
| dc.type | article | |
| local.authorAffiliation | Liu, Peng: pl333@cornell.edu Cornell University School of Hotel Administration | |
| local.authorAffiliation | Quan, Daniel: dq22@cornell.edu Cornell University |
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