Risk Management for Private Equity Funds

摘要: Although risk management has been a well-ploughed field in financial modeling for over three decades, the understanding how to correctly quantify and manage risks of investing private equity remains limited continues considerably lag that other traditional asset classes. The objective this paper is fill gap by developing first comprehensive framework fund investments. captures main sources investors face when class: market risk, liquidity cash flow risk. Underlying stochastic model value dynamics funds, which allows deriving dynamic measures investments: Value-at-Risk (VaR), Liquidity-Adjusted (LVaR), Cash-Flow-at-Risk (CFaR). calibrated historical data buyout funds developed are illustrated using Monte-Carlo simulations. A sensitivity analysis shows impact changes parameters on measures.