The commercial mortgage-backed security market has experienced rapid growth in recent years, and is now the second most important source of intermediation to the commercial real estate sector. Despite its growing importance, relatively little academic research has questioned the apparent success...

Following the lead of Merton (1974), recent research has focused on the relationship of credit risk to firm value. Although this has usually been done for a single firm, the growth of structured finance, which necessarily involves the correlation between included securities, has spurred interest...