Fitch Risk, PPR to Develop CRE Models

The CreditVantage division of Fitch Risk, an affiliate of Fitch Ratings, and Property & Portfolio Research Inc. have announced an alliance to develop and market commercial real estate credit models.The companies said the alliance will leverage PPR's CRE analytics and Fitch Risk's quantitative modeling expertise and data to offer a model that measures probability of default, loss given default, and expected loss for a loan, portfolio, or securitized pool. The model is calibrated using an extensive sample of defaulted and nondefaulted commercial real estate loans. "As commercial real estate market fundamentals continue to deteriorate and Basel II implementation draws closer, real estate lenders, regulators, and risk managers recognize a growing need for an empirically validated model to quantify and effectively manage commercial mortgage risk," the companies said. They can be found online at http://www.fitchrisk.com and http://www.ppr.info.