This paper studies the quantitative properties of a general equilibrium model where a continuum of heterogeneous entrepreneurs are subject to aggregate as well as idiosyncratic risks in the presence of a borrowing constraint. The calibrated model matches the highly skewed wealth and income...

This paper analyzes exit strategies of buyout funds in their portfolio companies following Initial Public Offerings. We use a data set of 222 buyout-backed IPOs in the United States between 1999 and 2008 including hand-collected data about each exit process to draw up a detailed road map of...

Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency...

According to the often-cited CapCo study (2003) about hedge fund failures, 50% of the failures were driven by Operational Risk. Not only for hedge funds, but also for other asset management companies – such as private equity companies, family offices or independent asset managers - operational...

For alternative assets such as venture capital, buyouts (private equity), real estate, etc., the standard regression of portfolio returns on market returns to measure risk produces risk measures that are not credible. Institutional investors, doubting such measures, instead often use either some...

Risk models commonly used in practice disregard the diversifiable risk of LP's PE portfolios. Based on a unique data set we find evidence that the relevance of idiosyncratic portfolio risk might be underrated. Our simulation results show that diversification across the number deals significantly...

Monthly return distributions of many private equity and hedge funds indices exhibit a set of distinctive statistical properties; such as skewness, fat-tails, and first-order serial correlation; and if these are ignored then the calculation of risk-return performance measures, asset allocation or...

In this paper we propose an integrated approach to assessing risk for alternative investment funds, both at micro and macro (market) level. Building upon the experience and practice in European Supervisory Agencies and different National Competent Authorities on assessing risk for other type of...