Commercial Mortgage Backed Security Sensitivity Analysis

All credit portfolios, whether global, regional or commercial real estate face uncertainty in losses. In retrospective, it is evident that variation in credit quality is substantial and default risk can increase quickly and in correlation with the macro-environment. Even in the aggregate, loss variability cannot be completely eliminated by diversification. The challenge for every risk or portfolio manager is to measure and understand the economic risks in their portfolio and ensure they are properly compensated. The purpose of this research is to research on modeling methodology for credit instruments and design a model to reduce miscalculations in risk and pricing in credit instrument, such as commercial mortgage backed securities(CMBS) or residential mortgage backed securities(RMBS) and help to address the challenges faced by credit risk or credit portfolio managers.

Faculty Supervisor:

George Blazenko

Student:

Partner:

Discipline:

Business

Sector:

University:

Simon Fraser University

Program:

Accelerate