Book description
Arms investors with powerful new tools for measuring and managing the risks associated with the various illiquid asset classes
With risk-free interest rates and risk premiums at record lows, many investors are turning to illiquid assets, such as real estate, private equity, infrastructure and timber, in search of superior returns and greater portfolio diversity. But as many analysts, investors and wealth managers are discovering, such investments bring with them a unique set of risks that cannot be measured by standard asset allocation models. Written by a dream team of globally renowned experts in the field, this book provides a clear, accessible overview of illiquid fund investments, focusing on what the main risks of these asset classes are and how to measure those risks in today's regulatory environment.
Provides solutions for institutional investors in need of guidance in today's regulatory environment
Offers detailed descriptions of risk measurement in illiquid asset classes, illustrated with real life case studies
Helps you to develop reliable risk management tools while complying with the regulations designed to contain the individual and systemic risks arising from illiquid investments
Features real-life case studies that capture an array of risk management scenarios you are likely to encounter
Table of contents
- Cover
- Title Page
- Copyright
- Dedication
- Foreword
- Acknowledgements
- Chapter 1: Introduction
-
Part I: Illiquid Investments as an Asset Class
- Chapter 2: Illiquid Assets, Market Size and the Investor Base
- Chapter 3: Prudent Investing and Alternative Assets
-
Chapter 4: Investing in Illiquid Assets through Limited Partnership Funds
- 4.1 Limited partnership funds
- 4.2 Limited partnerships as structures to address uncertainty and ensure control
- 4.3 The limited partnership fund's illiquidity
- 4.4 Criticisms of the limited partnership structure
- 4.5 Competing approaches to investing in private equity and real assets
- 4.6 A time-proven structure
- 4.7 Conclusion
- Chapter 5: Returns, Risk Premiums and Risk Factor Allocation
- Chapter 6: The Secondary Market
-
Part II: Risk Measurement and Modelling
- Chapter 7: Illiquid Assets and Risk
- Chapter 8: Limited Partnership Fund Exposure to Financial Risks
- Chapter 9: Value-at-Risk
- Chapter 10: The Impact of Undrawn Commitments
- Chapter 11: Cash Flow Modelling
- Chapter 12: Distribution Waterfall
- Chapter 13: Modelling Qualitative Data
- Chapter 14: Translating Fund Grades into Quantification
- Part III: Risk Management and Its Governance
- References
- Abbreviations
- Index
Product information
- Title: Mastering Illiquidity: Risk management for portfolios of limited partnership funds
- Author(s):
- Release date: June 2013
- Publisher(s): Wiley
- ISBN: 9781119952428
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