In this paper we investigate the risk return relationship of Private Equity (PE) relative to Public Market Equity (PM) investments to assess the adequateness of PEs return premium. We analyze cash flows of PE projects gross of fees and any other externalities. Our analysis is based on simulated...

...After imposing liquidity constraints, and after correcting for non-surviving vehicles, we get a sample of 114 instruments. The risk and return characteristics of three portfolio strategies, two partially rebalanced and one fully rebalanced, are compared.

Over the past ten years, private equity and venture capital have played an increasingly important role in the European economy. In parallel to the increase in investments, contribution of the private equity and venture capital industry to employment in Europe has grown.Against this background,...

This is the first study to show evidence of liquidity risk in private equity returns.Our data contains cash flows for 4,403 liquidated investments, which are both successfuland unsuccessful, reducing sample selection bias to a minimum. We find that a onestandarddeviation positive shock in...

This paper is the first systematic analysis of the impact of diversificationon the performance of private equity funds. A unique data set allows theexact evaluation of diversification across the dimensions financing stages,industries, and countries. Very different levels of diversification can...

We study the strategic asset allocation for an international investor. The recent empirical evidence on the partial predictability of asset returns has renewed theacademic and practical interest in strategic asset allocation. To model time varying returns on stocks, we use a Gaussian...

This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as...

Credit risk is an important issue in many nance areas, such as the determinationof cost of capital, the valuation of corporate bonds and pricing of credit derivatives.Credit risk has also been a cause and consequence of the current nancial crisis.Thus, methods for measuring credit risk, default...

Among the most crucial input parameters for credit portfolio risk models are the co-movements ofdefault risks. Due to limited empirical evidence about the magnitude of correlations the New BaselCapital Accord sets standard requirements for calculating regulatory capital requirements, e.g. in...

This article defines correlation products andexplores the problems they raise for risk management systemsin financial institutions. It explains the difficulties ofanalyzing nonseparable risk in one type of correlation product,the differential (diff) swap, and describes the much simpler...