Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

We lay out a model of risk capacity for global portfolio investors in which swings in exchange rates can affect their … risk-taking capacity in a Value-at-Risk framework. Exchange rate fluctuations induce shifts in portfolio holdings of global …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

measures. In this paper, we argue for a risk reduction in ALM strategy in the form of a shift from targeting core rather than … headline inflation for long-term hedgers while proposing an overlaying core versus headline swap to hedge the potential asset …

bankruptcy costs increase. Surprisingly, the higher the project risk, the more the entrepreneur will borrow, with a much higher …

exponential L´evy models, as well as some approximations in the case of stochastic local volatility. We show that variance swap … Greeks are inherently sensitive to model assumptions, and the common practice of ignoring the variance swap delta is not … always appropriate. In particular, the Delta of a variance swap under a stochastic local volatility model can be quite …

returns are close to empirically observed average fund returns for moderately risk tolerant LPs with private equity … allocations up to 40%. Likewise, optimal portfolio allocations for these LPs are similar to those observed in practice. More risk …

load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …