Market risk calculation for private equity fund-of-funds

Jörg Henzler and Constantine George

Journal of Risk Management in Financial Institutions, 2018, vol. 11, issue 4, 328-360

Abstract: This paper provides a new benchmark approach, developed to quantify value at risk (VaR) for private equity fund-of-funds. Regulatory as well as investor requests require these measures from alternative asset managers in Europe. Because of the large number of assets within fund-of-funds, a ‘look-through’ approach to analyse each single asset is not possible in terms of time and cost. Therefore, a sound theoretical benchmark procedure is necessary, which can be used efficiently in the day-to-day business of the risk manager.

Keywords: private equity; value at risk; fund-of-funds; interpolation; risk management (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2018:v:11:i:4:p:328-360

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