In-depth research and methodology from the PROMS.AI team and the wider Radley Associates network.
A Radley Associates / OPTrust case study, originally published in PREA Quarterly. Using a 10,000-scenario Monte Carlo simulation across OPTrust's Canadian CRE portfolio, the authors quantify the diversification benefit, isolate the impact of leverage, and challenge the use of the Sharpe ratio as the go-to risk metric for CRE investors.
Read the paper →The single-point DCF assumes risk can be captured by adjusting one or two inputs and applying a percentage reduction for a worst case. Real-world risks do not arrive one at a time - they come in correlated waves. This paper sets out why institutional investors need probability distributions, not point estimates, and how stochastic cash-flow simulation captures the compounding chain-reactions a three-case sensitivity cannot.
Read the paper →A review of the main approaches to CRE loan risk assessment. Traditional regression and scorecard models can only describe how loans behaved in the last downturn - and future crises differ materially. Cash-flow simulation explicitly incorporates macroeconomic uncertainty, producing forward-looking PD, LGD and EL estimates that hold up under regulatory scrutiny.
Read the paper →US defined benefit pension funds allocate just over 9% to CRE. Defined contribution plans allocate 10.8%. This paper looks at why CRE allocations are still constrained, what better risk-versus-return information would unlock, and where CRE belongs in a diversified institutional portfolio relative to equities, government bonds and private credit.
Read the paper →A two-part framework for modern CRE decision-making: (1) Scenario Forecasting, to identify strategic opportunities and disruptions, and (2) Asset and Portfolio Forecasting, to test those opportunities on a consistent, risk-adjusted basis. Originally written for PREA.
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