Real Estate Finance: Essays on Portfolio and Risk Management: A Measure of Direct Real Estate Risk.

Summary This thesis contributes to academic research in real estate by providing a risk assessment for commercial real estate investment management. Real estate investment has many specificities such as location, liquidity, investment size or obsolescence and requires active management. These specificities make traditional risk measurement approaches difficult to apply. This research work is presented in the form of four academic papers dealing with portfolio management and risk in real estate. This work is built on the existing academic literature and is based on previous publications. First, it analyzes tenant exit options contained in commercial leases in continental Europe and studies their impacts on portfolio value, management and risk. In the first paper, we consider tenant exit options included in commercial leases in continental Europe to better assess the value and risk of a real estate portfolio. This is achieved through the simultaneous use of Monte-Carlo simulations and option theory. The second article deals with the optimal holding period of a real estate portfolio when options contained in the leases are taken into account. The third article focuses on Value at Risk and proposes a model that takes into account the non-normality of real estate returns. This is obtained by combining the use of the Cornish-Fisher development and rearrangement procedures. Finally, in a last article, we present a model specially developed for the calculation of Value at Risk in real estate. This model has the particularity of taking into account the specificities of real estate and the parameters that have a greater influence on the value of assets.