Event: Commercial Mortgage Backed Securities: A New Frontier For Risk Management Technology Date: September 30 Time: 5:30 pm Registration Begins; 6 pm Program Begins Location:
1 New York Plaza
New York, NY
On Water Street between Broad and Whitehall Streets
Commercial Mortgage Backed Securities: A New Frontier For Risk Management Technology
Commercial Mortgage Backed Securities (CMBS) are one of the last asset classes where risk management technology has not yet been applied. This is because CMBS are very complex instruments, and as such, they are commonly viewed by CMBS market participants as immune to mathematical modeling. This lecture dispenses with this fallacy by presenting a newly developed model for CMBS fair valuation and risk management. The lecture will explain this model and the numerous obstacles that were overcome to apply derivatives technology to CMBS. Examples and computer illustrations will be provide.