Using CPI in Loss Given Default Forecasting Models for Commercial Real Estate Portfolio
By Ying Wu, Garvit Arora, Xuan Mei
Rating
1324
Battle Count: 34
Relevance
7/10
While focused on credit risk management, the findings could be relevant for quantitative trading strategies involving CRE-related securities or derivatives.
Implementation Complexity
6/10
The Tobit I regression model is relatively straightforward to implement, but gathering and preprocessing the necessary data may be challenging.
Reproducibility
3/5
The paper provides detailed methodology and data sources, but uses some proprietary data from JPMorgan Chase & Co.
About this paper
Methodology: Tobit I Regression. Problem types: Regression, Time Series Forecasting.
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