CMBS Credit Risk Model Validation

Mar 12, 2013

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. Dr. George Korenko and Mr. 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

Experts

This website uses cookies to improve functionality and performance. By continuing to use this website, you agree to the use of cookies in accordance with our Privacy Policy. Ok