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.
|Date of creation:||Apr 2012|
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- 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.
- 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.
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- Jani, Elion & Hoesli, Martin & Bender, AndrÃ©, 2005.
"Monte Carlo Simulations for Real Estate Valuation,"
eres2005_212, European Real Estate Society (ERES).
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