2026-09-20T07:03:10Zhttps://ecommons.cornell.edu/server/oai/requestoai:ecommons.cornell.edu:1813/1163282026-05-15T19:42:41Zcom_1813_35col_1813_47
Shen, Weiting
Ng, David
Mao, Yifei
2025-01-14T19:39:54Z
2025-01-14T19:39:54Z
2024-08
ProQuest Submission ID: 12176
ProQuest Publication ID: 31484152
https://hdl.handle.net/1813/116328
https://doi.org/10.7298/4737-f882
16611718
31 pages
This paper examines the impact of climate risk on loan pricing in the CMBS loan market in the US. The study reveals that higher levels of risk are associated with increased credit spreads and decreased loan-to-value ratios. Among climate risk indicators, only Trepp’s high property damage indicators show significant effects on loan credit spread. The findings also suggest potential manipulation of climate risk scores. Additionally, natural hazard data was utilized to assess the response of loan pricing to hazards. It was observed that loan prices increased one month after hazards occurred in Arizona and South Carolina, consistent with previous findings.
en
CLIMATE RISK AND CMBS LOAN PRICING
dissertation or thesis
https://newcatalog.library.cornell.edu/catalog/16611718
application/pdf
Applied Economics and Management
Cornell University
Master of Science
M.S., Applied Economics and Management
https://hdl.handle.net/1813/59810.2
Publication
Cornell Theses and Dissertations
Shen, Weiting
5893a6ea-7af3-41d7-abc6-04bcd26ab5df
open.access
open.access
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<Abstract>This paper examines the impact of climate risk on loan pricing in the CMBS loan market in the US. The study reveals that higher levels of risk are associated with increased credit spreads and decreased loan-to-value ratios. Among climate risk indicators, only Trepp’s high property damage indicators show significant effects on loan credit spread. The findings also suggest potential manipulation of climate risk scores. Additionally, natural hazard data was utilized to assess the response of loan pricing to hazards. It was observed that loan prices increased one month after hazards occurred in Arizona and South Carolina, consistent with previous findings.</Abstract>
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