Credit risk valuation model for real estate non-recourse loan

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説明

In this paper we propose a practical cost-effective model to estimate the credit risk of a large portfolio of real estate non-recourse loans. It uses information that is as easy to get and update as possible, such as real estate investment indices and macroeconomic indices. Empirical characteristics of real estates can be taken into account, such as serial correlations, cross-sectional correlations within individual properties, lagged effects of macroeconomic factors.

収録刊行物

  • JSIAM Letters

    JSIAM Letters 6 (0), 49-52, 2014

    一般社団法人 日本応用数理学会

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