Ex-ante real estate Value at Risk calculation method

Cornish-Fisher Expansion for Real Estate Value at Risk

Value at risk is a convenient and popular risk measurement tool. It represents the maximum potential loss on a specific portfolio of financial assets given a specific time horizon and a confidence interval. Principally value at risk is used in finance for risk management, financial reporting and capital requirement. In direct real estate, the calculation of this risk measurement is still rare e...

Risk , Self - Protection and Ex Ante Economic Value

We develop three propositions about the ex ante value of reduced risk. If there is a continuous outcome distribution and if self-protection intluences outcome probability and severity. then (1) unobservable utility terms cannot be eliminated from the ex ante value expressions; (2) knowledge of the convexity or the nonconvexity of dose-response functions is insufficient to sign changes in these ...

Estimating Real Estate Value-at-Risk Using Wavelet Denoising and Time Series Model

As the real estate market develops rapidly and is increasingly securitized, it has become an important investment asset in the portfolio design. Thus the measurement of its market risk exposure has attracted attentions from academics and industries due to its peculiar behavior and unique characteristics such as heteroscedasticity and multi scale heterogeneity in its risk and noise evolution etc...

Risk, Self-protection and Ex Ante Economic Value - Some Positive Results

Ex - ante and ex - post strong correlated

A strong correlated equilibrium is a strategy pro le that is immune to joint deviations. Di erent notions of strong correlated equilibria were de ned in the literature. One major di erence among those de nitions is the stage in which coalitions can plan a joint deviation: before (ex-ante) or after (ex-post) the deviating players receive their part of the correlated pro le. In this paper we prov...