La Banca d'Italia ha pubblicato, nell'ambito della serie «Questioni di Economia e Finanza» (Occasional papers), il volume numero 120 di Aprile 2012, avente ad oggetto «I fondi immobiliari italiani: struttura del mercato e analisi dei rischi (Italian real estate investment funds: market structure and risk measurement)» (download .pdf). Il testo è in inglese.


«This paper describes the Italian real estate investment funds industry, providing an overview of the distinctive features and risk factors of this sector. By using accounting and supervisory data, we: (1) compute the returns of the real estate assets in the portfolio of these funds; (2) construct a price index and a total return index of the real estate assets held by the Italian funds; (3) define a risk assessment process based on three different aspects - their financial profile, income structure and property price behaviour. This analysis allows us to select funds with a weak financial structure, poor returns, and a high probability that in a three-year interval their property portfolio will fall below their net liabilities (defined as the difference between debt and liquid assets). The proposed risk assessment can be seen as the first step towards a more intensive supervisory analysis and can also be useful for investment purposes».

Il documento è strutturato sulla base del seguente indice:

2.Funds data and market structure
2.1.Listed real estate funds in Italy
3.Estimation of returns, costs and risk parameters
3.1.Property prices, total returns and volatilities
3.2.Cash flows and other indicators
3.3.Profitability indicators
4.Risk measurement
4.1.Financial profile
4.2.Income structure
4.3.Property analysis
4.3.1.Default probabilities using Monte Carlo methods
4.3.2.The empirical study
A.Appendix - The normal inverse Gaussian distribution