抄録
In this paper we propose a practical cost-effective model to estimate the credit risk of a large portfolio of real estate non-recourse loans. It uses information that is as easy to get and update as possible, such as real estate investment indices and macroeconomic indices. Empirical characteristics of real estates can be taken into account, such as serial correlations, cross-sectional correlations within individual properties, lagged effects of macroeconomic factors.
