Pan-European Property Calibration Notes
Document ID: 2006-1280 (previously 2006/08)
Published on: 1st February 2006
Author: John Hibbert & Martin Skrk
Property (real estate) assets form a significant part of institutional investment portfolios. Researchers estimate around EUR 1 trillion is invested in commercial property out of aggregate portfolio assets of circa EUR 5 trillion. The requirement to understand and model the possible future behaviour of property assets over very long planning horizons presents some special problems for the risk manager and financial modeller. The purpose of this note is to set out our current thinking on pan-European property modelling and to document a set of targets for the key statistical characteristics of property assets suitable for the calibration of a stochastic asset model.
