Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1756372
Valuation of real-estate losses via Monte Carlo simulation
Aitor Barañano
J. Iñaki De La Peña
orcid.org/0000-0002-7478-5571
Rafael Moreno
orcid.org/0000-0001-9058-4123
Sažetak
The valuation of the exposure to real estate market risk has traditionally
been difficult due to the lack of appropriate data, returns
that do not follow a normal distribution and a lack of adequate
methodology. However, regulations such as Basel II, Basel III and
Solvency II make it possible to assess real estate market risk using
an internal model and through Value at Risk. The study develops
a procedure to provide an internal model that values real estate
market risk and calculates the capital that guarantees it. Monte
Carlo simulations are used to calculate Value at Risk. As result,
capital requirements can be established from these results to help
with portfolio decision-making of insurance companies that hold
real estate. Data used in the study is taken from the General
Council of Notaries registered dwellings databases from the
Spanish National Statistics Institute covering the time period of
2007–2017. This paper contributes to the literature by proposing
a model that incorporates the characteristics of investments,
allowing a real and market measure of the risk of loss from
real estate.
Ključne riječi
Real estate valuation; Monte Carlo; value at risk; solvency capital requirement
Hrčak ID:
254510
URI
Datum izdavanja:
9.2.2021.
Posjeta: 479 *