case study

Risk Valuation System for CMBS (An Introduction)

Risk measurement and reporting of each loan using bottom most approach

  • Designed a database driven system to identify pieces of loans which exists in complex form e.g. A/B or Pari Passu structure to assess their risks.
  • Clear identification of lead component from pair and Mapping of correct pieces if they were wrongly mapped. Identifying the factors sourcing these wrong mapping and take the corrective steps.
  • Having archival mechanism for issue data rectification and issue reporting
  • Methodology for estimating Loss Severity, Timing and Amount of default, Balloon Loss Severity etc.
  • Application of Global assumptions which are NOI curve, Cap rate, Debt Yield threshold, Largest tenant, LTV assumptions, Occupancy etc. to know their sensitivity among each other.

Hedge Fund – Published On October