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The Journal of Portfolio Management

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Primary Article

Commercial Real Estate Loan Default Frequency

George J. Pappadopoulos and Jun Chen
The Journal of Portfolio Management Fall 2002, 29 (1) 115-119; DOI: https://doi.org/10.3905/jpm.2002.319868
George J. Pappadopoulos
Director of risk management and debt research at Property & Portfolio Research, LLC, in Boston (MA 02108).
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Jun Chen
Quantitative economist at Property & Portfolio Research, LLC, in Boston (MA 02108).
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Abstract

Capital allocation decisions become an even tougher issue without a consistent measure of credit risk across the entire portfolio. Although available risk management systems are helpful for a number of asset classes, none provides an adequate solution for real estate credit risk. With few appropriate inputs, and a notable lack of data on commercial mortgage default experience, an alternative approach to assessing real estate loan expected default frequency is needed. The authors discuss the calibration of a systematic risk metric to actual historical defaults. A comparison of the disaggregated results to those of past studies of defaults indicates that the metric appears to be a robust and useful tool for exposing opportunities and improving capital allocation decisions.

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The Journal of Portfolio Management
Vol. 29, Issue 1
Fall 2002
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Commercial Real Estate Loan Default Frequency
George J. Pappadopoulos, Jun Chen
The Journal of Portfolio Management Oct 2002, 29 (1) 115-119; DOI: 10.3905/jpm.2002.319868

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Commercial Real Estate Loan Default Frequency
George J. Pappadopoulos, Jun Chen
The Journal of Portfolio Management Oct 2002, 29 (1) 115-119; DOI: 10.3905/jpm.2002.319868
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