CMBS Credit Risk Model Validation

Edgeworth Economics was retained by a major commercial real estate research and analytics firm to validate its quantitative credit risk product, which forecasts default and loss outcomes for a broad range of commercial mortgage and securitized loans. Edgeworth Partners Dr. George Korenko and Michael Kheyfets:

• Qualitatively assessed  internal model development processes
• Reviewed model architecture and design
• Evaluated the economic and financial theory used in the modeling process
• Developed a framework to statistically assess the model’s discriminative power and calibration