Banks and financial institutions in general are more and more involved in the real estate markets, as witnessed by a growing trend of direct investments. Despite real estate risk has been traditionally underestimated, it is one of the relevant risk sources as properties are part of banksí assets and make up the largest share of collateral for banking loans. Consequently, UniCredit Group has decided to measure and manage all aspects of it. In doing so, UniCredit set up a real estate committee to manage the real estate portfolio on a group wide and it is also monitored by the risk committee. Moreover, such an extension of risk management is also consistent with the new supervisory guidelines of Basel II. Real estate risk is defined as the maximum potential decrease in market value of the bank's own properties over a one year time-horizon. UniCredit developed a measurement model that implies evaluating and updating market values of properties and estimating their volatility. The latter is inferred from a set of indexes about different regional real estate markets. Input data is collected for the whole group with more than fifteen European countries. Our calculation outlines that real estate is quite risky and often higher than intuitively expected. The quantitative risk assessment directly leads the amount of equity capital earmarked to face unexpected losses. A similar method is going to be adopted to set the loan size given the value of a real estate property used as collateral.