In this study, we propose a method based on large deviation theory (LDT), which minimises credit risk (expected loss). We demonstrate how mortgage loan portfolios can be optimised using geographical differences in the risk characteristics of mortgage loans in the UK. Our empirical results show...

The role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined in this paper. Using an approach developed by Lin (<CitationRef CitationID="CR14">2004</CitationRef>), and Lin and Vandell (<CitationRef CitationID="CR15">2001</CitationRef>, <CitationRef CitationID="CR16">2005</CitationRef>), combined with a statistical model of UK commercial property transactions, we...</citationref></citationref></citationref>