We study clustering of underlying investments across funds in public and alternative markets. Funds often invest in the same company or stock, and we study whether the amount of overlap is indicative of random or clustered investing and what that can tell us. We start with the simplest case, and...

Previous risk management in the venture capital industry has focused mainly on qualitative risk management, such as team selection and due diligence. As investment volume has increased during the past decade, and as venture capital becomes more important as an asset class for institutional...

The limited partners of a private equity (venture capital and buyout) fund need to rely on the fund manager's valuation of the company investments until the company is exited. We investigate how fund managers have valued their investments with respect to fund year and whether the fund managers...

This study constructs and evaluates a risk model for the venture capital industry in which the CreditRisk+ model is adjusted to calculate loss distributions for venture capital portfolios. A forward entry regression with macroeconomic factors as independent variables is used as the procedure to...

Private equity fund-of-funds (FoF) investments are now contributing more than 10% of the capital to private equity, i.e. venture capital and buyout. However, their risk profile is not well understood due to the opaque and illiquid market, and the limited access to performance figures. FoFs need...

Previous research on reporting and disclosure in private equity (buyout and venture capital) has primarily focused on describing the contractual clauses between portfolio company, fund manager and fund investor, and on explaining its origin in terms of more general economic concepts. In...

Private equity fund-of-funds (FoF) investments are now contributing more than 10% of the capital to private equity, i.e. venture capital and buyout. However, their risk profile is not well understood due to the opaque and illiquid market, and the limited access to performance figures. FoFs need...

We study the valuation behaviour of private equity fund managers using a European private equity fund investor's database. We had not only complete cash flow information from all 2,500 indirect company investments of their funds, but most importantly all its 15,000 valuations by the fund...