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...

We investigate the dynamics of appraisal smoothing in the NCREIF index return using time-varying asset pricing models. We find that smoothing is on average close to zero but varies substantially over time. From the inception of the NCREIF index in 1978 until the mid-1990s, there was little...

No, it doesn't, despite the general perception that illiquidity matters in real estates. As expected, the illiquidity costs we estimate for the US residential properties are large. They are on average equivalent to 12% of the total property returns, ranging from 9.5% to 29.5% of property prices...

type="main" <p>We investigate the dynamics of appraisal smoothing in the National Council of Real Estate Investment Fiduciaries (NCREIF) index return using time-varying asset pricing models. We find that smoothing is on average close to zero but varies substantially over time. From the inception of...</p>

We investigate the dynamics of smoothing in the NCREIF index return using time-varying asset pricing models. We find that smoothing time-varies significantly. From the inception of the NCREIF index in 1978 until the early 1990s, there was little evidence of smoothing. Smoothing has increased...