Show simple item record

dc.contributor.advisorAlex van de Minne.en_US
dc.contributor.authorKaza, Ramakrishna Kalicharan.en_US
dc.contributor.otherMassachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.en_US
dc.date.accessioned2020-03-09T18:25:38Z
dc.date.available2020-03-09T18:25:38Z
dc.date.copyright2019en_US
dc.date.issued2019en_US
dc.identifier.urihttps://hdl.handle.net/1721.1/124038
dc.descriptionThesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2019en_US
dc.descriptionCataloged from PDF version of thesis.en_US
dc.descriptionIncludes bibliographical references (page 58).en_US
dc.description.abstractCommercial Real Estate (CRE) debt has been the most staple form of capital for the real estate industry in the US for decades. However, a lot has changed in the CRE debt landscape since the Global Financial Crisis. With growing regulatory constraints for traditional lenders, and massive amounts of global capital chasing private market investments, private debt funds are emerging as a reliable alternate source of debt for the industry. With the current market cycle showing signs of an end-cycle environment, private debt funds/strategies have become even more popular with investors for their potential to enhance returns on a risk-adjusted basis. The intent of most such funds is to achieve "equity-like" returns at "lower risk". Returns are for everyone to see - Risk is what is difficult to capture. The main objective of this study is to unravel the risk characteristics of CRE debt, and to empirically quantify the risk involved in CRE lending.en_US
dc.description.abstractA credit risk approach is adopted to do an extensive analysis of delinquencies in a portfolio of 65,533 CRE loans originated over 23 years; all loans are/have been a part of CMBS collateral, and their entire performance track record is sourced from Trepp LLC. The study uses the three pillars of the credit risk approach - Incidence of Default, Loss Severity, and Time to Default, and applies them to five distinct segments of the portfolio - Aggregate, Market Cycle, Asset Class, Origination Cohort, and Loan-to-Value Ratio, to come up with a comprehensive set of insights and measurements on risk. The study finds that CRE loans get incrementally risky as Loan-to-Value ratios get higher; quantitative metrics are derived to highlight the relative differences in risk. It also finds that loans originated in the later years of a market cycle tend to be much riskier than those originated earlier in a cycle.en_US
dc.description.abstractThe analysis brings out many more nuanced trends and metrics that come together to portray a complete risk profile of CRE debt. The study concludes with a summary of the high-level takeaways, and a brief discussion on how the derived metrics can feed into pricing decisions.en_US
dc.description.statementofresponsibilityby Ramakrishna Kalicharan Kaza.en_US
dc.format.extent74 pagesen_US
dc.language.isoengen_US
dc.publisherMassachusetts Institute of Technologyen_US
dc.rightsMIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.en_US
dc.rights.urihttp://dspace.mit.edu/handle/1721.1/7582en_US
dc.subjectCenter for Real Estate. Program in Real Estate Development.en_US
dc.titleAnalysis of delinquencies in CRE debt : an approach to understanding risk and pricingen_US
dc.title.alternativeAnalysis of delinquencies in Commercial Real Estate debten_US
dc.typeThesisen_US
dc.description.degreeS.M. in Real Estate Developmenten_US
dc.contributor.departmentMassachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Developmenten_US
dc.identifier.oclc1102320904en_US
dc.description.collectionS.M.inRealEstateDevelopment Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estateen_US
dspace.imported2020-03-09T18:25:38Zen_US
mit.thesis.degreeMasteren_US
mit.thesis.departmentREDen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record