商业房地产贷款风险量化研究进展

Chris Marrison
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引用次数: 2

摘要

商业地产行业有一股强大的力量在推动银行和投资者在评估风险时采取更多的量化方法。这种量化将影响从贷款审批到交易结构和贷款定价等方方面面。使用量化工具有四个主要驱动因素:1)巴塞尔协议II要求银行建立风险模型来计算其最低资本要求;2)通过使用更复杂的金融结构来提高回报的压力;3)需要确保高级管理人员能够监控这些复杂结构对投资组合风险的影响;4)担心世界变得更加相互联系,增加了多个行业同时崩溃的风险。本文讨论了一些可以度量风险的方法、新法规的要求以及如何使用风险度量工具来提高盈利能力并降低构建新交易的风险。版权所有©2008 John Wiley &儿子,有限公司
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Advances in quantifying risk in commercial real estate lending

There are strong forces in the commercial real estate industry pushing banks and investors to take more quantitative approaches in assessing risks. This quantification will affect everything from loan approvals to deal structures and loan pricing. There are four main drivers for the use of quantitative tools: 1) The Basel II regulations that require banks to have risk models to calculate their minimum capital requirements; 2) The pressure to increase returns by using more complex financial structures; 3) The need to ensure that senior managers can monitor the effect of these complex structures on the risk of the portfolio; and 4) Concern that the world has become more interlinked, increasing the risk of several sectors melting down simultaneously. This article discusses some of the ways that risk can be measured, the requirements of the new regulations and how risk measurement tools can be used to increase profitability and reduce risk in structuring new deals. Copyright © 2008 John Wiley & Sons, Ltd.

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