Search Results
Working Paper
Understanding the Exposure at Default Risk of Commercial Real Estate Construction and Land Development Loans
We study and model the determinants of exposure at default (EAD) for large U.S. construction and land development loans from 2010 to 2017. EAD is an important component of credit risk, and commercial real estate (CRE) construction loans are more risky than income producing loans. This is the first study modeling the EAD of construction loans. The underlying EAD data come from a large, confidential supervisory dataset used in the U.S. Federal Reserve’s annual Comprehensive Capital Assessment Review (CCAR) stress tests. EAD reflects the relative bargaining ability and information sets of ...
Speech
Opening remarks at the Community Bankers’ Conference
Remarks at the Community Bankers? Conference, Federal Reserve Bank of New York, New York City.
Journal Article
A Stress Test of Bank Commercial Real Estate Loans: What Can the 1980s Tell Us about Risks to Banks Today?
Even if commercial real estate (CRE) losses reach the levels of the 1980s’ CRE crisis, banks today may be able to weather them.
Journal Article
A Regional Indicator of Commercial Real Estate Activity: The KC Fed CRE Index
Activity in the commercial real estate (CRE) sector is closely linked to broader economic conditions. However, tracking developments in the CRE sector can be challenging due to the sector’s wide span of activities. At their inception, commercial properties involve construction activity, land development, and local infrastructure investments; once constructed, commercial properties can be used for a variety of purposes. The CRE sector also often reflects the regional economic landscape more than it is shaped by national features. To understand changing conditions in their regions, community ...