Mastering Illiquidity

Thomas Meyer 지음

Wiley 2013년 04월 18일 출간

작품소개

책소개

Arms investors with powerful new tools for measuring and managing the risks associated with the various illiquid asset classesWith 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 environmentOffers detailed descriptions of risk measurement in illiquid asset classes, illustrated with real life case studiesHelps you to develop reliable risk management tools while complying with the regulations designed to contain the individual and systemic risks arising from illiquid investmentsFeatures real-life case studies that capture an array of risk management scenarios you are likely to encounter

목차

Foreword xiAcknowledgements xiv1 Introduction 11.1 Alternative investing and the need to upgrade risk management systems 11.2 Scope of the book 41.3 Organization of the book 6PART I ILLIQUID INVESTMENTS AS AN ASSET CLASS2 Illiquid Assets, Market Size and the Investor Base 172.1 Defining illiquid assets 172.2 Market size 202.3 The investor base 232.4 Conclusions 323 Prudent Investing and Alternative Assets 333.1 Historical background 343.2 Prudent investor rule 363.3 The OECD guidelines on pension fund asset management 383.4 Prudence and uncertainty 383.5 Conclusion 414 Investing in Illiquid Assets through Limited Partnership Funds 434.1 Limited partnership funds 434.2 Limited partnerships as structures to address uncertainty and ensure control 474.3 The limited partnership fund&'s illiquidity 494.4 Criticisms of the limited partnership structure 524.5 Competing approaches to investing in private equity and real assets 524.6 A time-proven structure 554.7 Conclusion 575 Returns, Risk Premiums and Risk Factor Allocation 595.1 Returns and risk in private equity 595.2 Conclusions 736 The Secondary Market 756.1 The structure of the secondary market 766.2 Market size 836.3 Price formation and returns 876.4 Conclusions 93PART II RISK MEASUREMENT AND MODELLING7 Illiquid Assets and Risk 977.1 Risk, uncertainty and their relationship with returns 987.2 Risk management, due diligence and monitoring 1027.3 Conclusions 1058 Limited Partnership Fund Exposure to Financial Risks 1078.1 Exposure and risk components 1088.2 Funding test 1138.3 Cross-border transactions and foreign exchange risk 1178.4 Conclusions

작가정보

저자(글) Thomas Meyer

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Dr PETER CORNELIUS is heading AlpInvest Partners' economic and strategic research. Prior to his current position, he was the Group Chief Economist of Royal Dutch Shell, chief economist and Director of the World Economic Forum's Global Competitiveness Program, Head of International Economic Research of Deutsche Bank, a senior economist with the International Monetary Fund, and a staff economist of the German Council of Economic Advisors. He is the chairman of EVCA's lsquo;Risk Measurement Guidelines' working group. He has been an adjunct professor at Brandeis University and a Visiting Scholar at Harvard University and has published widely in leading academic and trade journals and (co)authored several books, including International Investments in Private Equity (Elsevier/Academic Press).Dr CHRISTIAN DILLER is co-founder of Montana Capital Partners, focused on secondary liquidity in private equity through its own innovative investment product, sophisticated securitizations and risk management services for institutional investors. Previously, he was Head of Solutions at Capital Dynamics leading the structuring and portfolio and risk management activities. Christian advised some of the world's largest investors on portfolio rebalancing and structuring, cash flow planning and risk management in private equity. Prior to that, he worked for Allianz Group and Pioneer Investments. Christian is a member of the EVCA's lsquo;Risk Measurement Guidelines' working group, co-chairman of the lsquo;Technical Working Group on Solvency II IORP' and lecturer at the CIPEI course held by the Oxford Said Business School. He is author of several articles for practitioners and academics and holds a Dr. rer. pol. in finance specializing on risk-/return characteristics of private equity funds.Dr DIDIER GUENNOC is co-founder of LDS Partners, specialised in decision systems, program structuring, corpor