Portfolio Value Estimates for CMBS using Mass Appraisals and Portfolio Confidence Intervals
This paper compares various procedures for estimating confidence intervals for the value of a portfolio of assets when point estimates of individual asset values are estimated by multiple regression. The portfolios of interest in this study are the underlying assets for commercial mortgage-backed securities (CMBS), properties securing bank held mortgages, and equity portfolios. Individual assets are valued using either actual appraised values or a multiple regression (mass appraisal) procedure. In this paper, we examine several approaches for determining a confidence interval for the portfolio value. We demonstrate that the type of confidence interval selected and the software used to estimate the interval produce significantly different results. To solve this problem, we present an Excel-based procedure with equations for confidence interval estimation. To date, the methodology developed in this paper has been used to estimate portfolio values for more than $2.5 billion in real estate assets.
Southeast Institute for Operations Research and the Management Sciences Annual Conference (SE-INFORMS)
Moss, Steven E., Susan Williams, John N. Dyer.
"Portfolio Value Estimates for CMBS using Mass Appraisals and Portfolio Confidence Intervals."
Logistics & Supply Chain Management Faculty Presentations.