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


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