This paper is the first which studies extreme risk factor movements of Euro area sovereign bonds, whose prices are largely determined by risk factors representing interest rate risk, credit risk and market liquidity risk. Starting model independently from fundamental no-arbitrage relationships,...

In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...