It is perfectly acceptable to real estate managers and investors to discuss market risk or interest rates, but when it comes to credit risk and estimating economic capital most managers are out of their comfort zone. The biggest hole in that ground is produced by discussions on correlations, lack of data and in-transparency of the real estate sector.
It is not a reflection on the management, it is a simple manifestation of the disconnect that exist today between the real world and applied statistical modelling. And when it comes to banking regulation and economic capital for the banking industry, the disconnect is only growing larger.
“While regulatory capital model compensate for expected risk, economic capital should account for unexpected risk. The difference between two estimates is the amount you need to put aside for economic capital modelling.
I am an academic and experienced professional in real estate lending, deal execution, risk and recovery with 15 years experience in real estate finance transactions across capital structure, CMBS (UK/Germany) and VBA programming for structured finance. Experienced in working in multi-lingual and multi-cultural environments across Europe.
Following the financial crisis 2008 I have focused on finding solutions for distressed real estate bank loans and securitisations. Driven by the idea of improving industry underwriting and modelling standards I have published my first book with the title “Assessing real estate risk – applied models, concepts, methods”, Euromoney in October 2012.
I have worked with:
- Real Estate Investment Managers
- Service providers
I provide consultancy and advisory in the following areas:
- real estate credit analysis
- rating and default modelling for CMBS/RMBS, real estate loan book
- credit risk reporting process, early warning indicators, Basel II risk weighting optimisation
- risk & return pricing
Find more information here