Millen Group

In his paper 'Real Estate Risk Management with Copulas' Anish Goorah describes how Real Estate Risk Management tools are traditionally based on mean variance analysis and how non-normal behaviour of financial asset returns including real estate securities is a violation of one of the fundamental assumptions of mean-variance analysis.

The pitfalls of using the correlation coefficient as a measure of dependency are discussed first. The use of copulas as an alternative to modelling the dependence structure and more generally as a risk-management tool is then proposed. Copula based Value-at-Risk computations are also carried out. The results confirm that the linear correlation measure is unable to capture the dependence between the US and the UK publicly listed real estate securities. The limitations of the joint multivariate normal distribution are also shown.

The Journal of Property Research is an international journal that publishes papers in property investment and finance, and in land development. These may be theoretical, empirical, case studies or critical literature surveys.

The journal provides a forum for research in the field and assists researchers and practitioners to keep abreast of new developments.