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Commercial real estate exposure and bank counterparty risk
Journal of Risk Management in Financial Institutions,
17
(4),
338-356
(2024)
Abstract
Detailed analysis of December 2023 bank regulatory data suggests that unrealised interest rate losses in the banking system amplify banks' true commercial real estate (CRE) loan concentrations making CRE exposures much more consequential than traditional supervisory CRE loan concentration measures suggest. Taken together, weak demand for several types of commercial properties, sustained unexpectedly high interest rates and the concentration of CRE loans in many bank portfolios may magnify the risk of many financial institution's uncollateralised exposures to bank counterparties.
Keywords: commercial real estate; CRE; bank counterparty credit risk
The full article is available to subscribers to the journal.
Author's Biography
Paul H. Kupiec is a senior fellow at the American Enterprise Institute specialising in issues impacting financial markets and institutions. He has held senior staff positions at The Federal Reserve Board, JPMorgan, FreddieMac, The International Monetary Fund and The Federal Deposit Insurance Corporation. He served as chairman of the Research Task Force of the Basel Committee on Banking Supervision and has testified multiple times before House and Senate financial committees. His work can be found at https://www.aei.org/scholar/paul-h-kupiec/.
Citation
Kupiec, Paul H. (2024, October 1). Commercial real estate exposure and bank counterparty risk. In the Journal of Risk Management in Financial Institutions, Volume 17, Issue 4. https://doi.org/10.69554/EOPY4058.
© Henry Stewart
Publications LLP
Publications LLP