Italian real estate investment funds: market structure and risk measurement
This paper describes the Italian real estate investment funds industry, providing an overview of the distinctive features and risk factors of this sector. By using accounting and supervisory data, we: (1) compute the returns of the real estate assets in the portfolio of these funds; (2) construct a price index and a total return index of the real estate assets held by the Italian funds; (3) define a risk assessment process based on three different aspects - their financial profile, income structure and property price behaviour. This analysis allows us to select funds with a weak financial structure, poor returns, and a high probability that in a three-year interval their property portfolio will fall below their net liabilities (defined as the difference between debt and liquid assets). The proposed risk assessment can be seen as the first step towards a more intensive supervisory analysis and can also be useful for investment purposes.
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| Date of creation: | Apr 2012 |
| Date of revision: | |
| Handle: | RePEc:bdi:opques:qef_120_12 |
| Contact details of provider: | Postal: Web page: http://www.bancaditalia.it More information through EDIRC
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References listed on IDEAS
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- Christina E. Bannier & Falko Fecht & Marcel Tyrell, 2008.
"Open-End Real Estate Funds in Germany – Genesis and Crisis,"
Credit and Capital Markets,
Credit and Capital Markets, vol. 41(1), pages 9–36.
- Bannier, Christina E. & Fecht, Falko & Tyrell, Marcel, 2007. "Open-end real estate funds in Germany: genesis and crisis," Discussion Paper Series 2: Banking and Financial Studies 2007,04, Deutsche Bundesbank, Research Centre.
- Christina E. Bannier & Falko Fecht & Marcel Tyrell, 2008. "Open-End Real Estate Funds in Germany - Genesis and Crisis," Working Paper Series: Finance and Accounting 165, Department of Finance, Goethe University Frankfurt am Main.
- Martin Hoesli & Elion Jani & André Bender, 2005.
"Monte Carlo Simulations for Real Estate Valuation,"
FAME Research Paper Series
rp148, International Center for Financial Asset Management and Engineering.
- Jani, Elion & Hoesli, Martin & Bender, André, 2005. "Monte Carlo Simulations for Real Estate Valuation," ERES eres2005_212, European Real Estate Society (ERES).
- James Kau & Donald Keenan & Yildiray Yildirim, 2009. "Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 107-117, August.
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