1. A Stress Testing Scenario Analysis for House
Prices: An Application to the Greek Market
Michael Doumpos
Technical University of Crete
Dimitrios Papastamos
Eurobank Property Services S.A.
Constantin Zopounidis
Dimitrios Andritsos
June 28 - July 1, 2017, Delft, The Netherlands

2. Introduction

3. Stress tests 3

4. Objectives of the study4

5. Automated valuation models (AVMs)5

6. Data Description: Sample
The data were provided by the Eurobank Property Services S.A.
Hedonic characteristics of real estate properties
The sample consists of 75,991 residential properties that have been professionally evaluated in the period 2007 – 2015
240 different administrative sectors covering all areas in Greece
32 aggregated administrative areas (Index Areas)

7. Data Description: Geographical Distribution

8. Data Description: Distribution of Properties
80% of the properties are flats
11% are houses
6% maisonettes
3% of type duplex

9. Data Description: Initial set of Hedonic Variables
Record code
Value
V02
Year of valuation
Year
V03
Month of valuation
Month no.
V04
Administrative sector
Code value
V05
Urban classification
V06
Survey value
Euro
V07
Type of residence
V08
Usable residence area
Sq. m.
V09
Land area
V10
Year of construction
V11
Distance from CBD km
V12
Floor
Number
V13
Total number of floors
V14
Existence of parking space
Yes/no (1/0)
V15
Type of parking
V16
Type of heating
Code value (0-3)
V17
Quality of construction
V18
Number of bedrooms
V19
Touristic hotspot
V20
Elevator
V21
View
V22
Number of bathrooms

10. The structure of the AVM under consideration (database)
The procedure applied by EPS during the Commercial Index production, is comprised of 4 phases: 10

11. The structure of the AVM under consideration (valuation process)
EEC: European Economic Community 11

12. Econometric model 12

13. Estimation results

14. Monte Carlo Simulation
The methodology implemented for constructing commercial property price indices is based on “repeat valuation” of commercial properties approach:

15. Simulation parameters

16. Profit / loss distribution (baseline scenario)

17. Profit / loss distribution (stressed scenario)

18. Results by region (baseline scenario)

19. Conclusions and future perspectives