Mastering Illiquidity: Risk management for portfolios of limited partnership funds (The Wiley Finance Series) - Hardcover

Meyer, Thomas; Cornelius, Peter; Diller, Christian; Guennoc, Didier

Hardcover

ISBN 10: 1119952425 ISBN 13: 9781119952428

Verlag: Wiley, 2013

Inhaltsangabe

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

Über diesen Titel

Über die Autorin bzw. den Autor

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 ‘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 ‘Risk Measurement Guidelines’ working group, co-chairman of the ‘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, corporate governance and risk management solutions for institutional investors in private equity. He also acts as the secretary of the International Private Equity and Venture Capital Valuation Board (IPEV Board). Previously he worked for Origo Management and advised EVCA, the European Private Equity and Venture Capital Association on public affairs, statistics and professional standards. He started his career at Xerfi, the leading French market research company. Didier was a member of the advisory board of the Centre for Entrepreneurial and Financial Studies (Technische Universität München – Germany) and of the private equity subcommittee of the Chartered Alternative Investment Analyst® Program. Didier holds a PhD in Business Administration from the University Robert Schuman, Strasbourg (France).

Dr THOMAS MEYER is co-founder of LDS Partners, specialised in decision systems, program structuring, corporate governance and risk management solutions for institutional investors in private equity. Previously he was with EVCA, the European Investment Fund and Allianz Asia Pacific. He is a member of the EVCA’s ‘Risk Measurement Guidelines’ working group and of the Chartered Alternative Investment Analyst Association's (CAIA©) private equity sub-committee and a Shimomura Fellow of the Development Bank of Japan’s Research Institute of Capital Formation. Thomas is co-directing the Certificate in Institutional Private Equity Investing (CIPEI) course held by the Oxford Said Business School’s Private Equity Institute and co-authored several books including Beyond the J-Curve and J-Curve Exposure.

Von der hinteren Coverseite

Allocations to illiquid investments have grown substantially in recent years as investments in asset classes such as private equity, real estate, infrastructure or timber, are expected to generate superior returns and help investors diversify their portfolios. Their unique characteristics however, require specific tools to measure and manage the risk associated with such investments.

This book focuses primarily on the illiquidity risk premium that structurally illiquid asset classes may offer. In contrast to asset classes that may become illiquid thanks to financial turmoil and heightened risk aversion, investors in structurally illiquid asset classes are aware ex-ante of the risk they take. It is precisely this risk, and more specifically the associated risk premium, that attracts investors to these asset classes. Not all investors are able to harvest this risk premium, however. As a matter of principle, only long term investors can, whose liability profile allows them to lock capital in for a prolonged period of time. Harvesting the illiquidity risk premium requires specific risk management techniques, and these are the subject of this book.

Mastering Illiquidity: Risk Management for Portfolios of Limited Partnership Funds provides a clear and accessible overview of the particularities of illiquid fund investments, what the main risks of these asset classes are and how risks are measured in the new regulatory environment. It provides solutions for institutional investors who are searching for guidance in the new era of regulation and offers detailed descriptions of risk measurement in illiquid asset classes which are illustrated with real life case studies. This book helps readers to develop appropriate risk management tools while complying with new regulations which have been put in place to contain individual as well as systemic risks arising from illiquid investments.

Aus dem Klappentext

“This important book is long overdue. As investments in higher-yielding illiquid assets continue to grow, there is an urgent need to understand their specific risk characteristics. Mastering Illiquidity fills a critical gap by providing a detailed guide for investment professionals to measure and harvest illiquidity premiums methodically while avoiding the numerous performance measurement traps private equity and similar asset classes can bring about. I strongly recommend it.”
―John B. Breen, Sanabil Investments

“This is a timely and much needed treatment of key issues facing investors making significant and often growing investments in private equity and real assets. These illiquid assets pose great challenges and opportunities for improved practice and research. How do we measure risk? What are the costs of illiquidity? Writing in an accessible manner, the authors blend a wealth of data, practical insight and research findings that can both inform a newcomer to the area and benefit the seasoned professional investor. I highly recommend the book to anyone interested in investments in illiquid assets such as private equity. I am already suggesting it to students as well as colleagues in the academy and industry.”
―Robert S. Harris, C. Stewart Sheppard Professor, Darden School of Business, University of Virginia

“This book is extremely well written and well structured. It integrates evidence, theory, academic research and practical applications very effectively. Written in an accessible and yet precise way, the book is an excellent contribution to the literature which should be widely read by practitioners, students and academics. The topic is important and complex and the authors really have provided the handbook for all investors interested in the illiquid assets.”
―Tim Jenkinson, Professor of Finance and Head of Finance Area, Director, Private Equity Institute, Said Business School, Oxford University

“Managing illiquid assets is a daunting task. For the limited partnership structure to be viable in the long-term, asset managers must master appropriate risk management tools. This book is an outstanding contribution towards this goal and, as such, an invaluable gift to the asset management industry.”
―Ludovic Phalippou, Lecturer in Finance (Fellow of Queen’s college), University of Oxford, Said Business School

“With the growing institutional allocations to alternative assets, such as private equity and venture capital, concerns about risks and risk management are receiving increasing attention from both investors and regulators. In this book, some of our leading thinkers and practitioners provide a state-or-the-art overview of these issues, including extensive discussion of the particular complications that arise from the long-term illiquidity of these alternative investments. It comes highly recommended.”
―Morten Sorensen, Daniel W. Stanton Associate Professor of Business, Columbia Business School

“Illiquid assets are important drivers of portfolio performance, which do not fit the standard management frameworks for liquid assets. Mastering Illiquidity is the reference for portfolio and risk managers who want to avoid the numerous pitfalls in the management of illiquid assets.”―Christophe Rouvinez, Chief Executive Officer, Müller-Möhl Group

Details zur Ausgabe

• Verlag: Wiley
• Erscheinungsdatum: 2013
• Sprache: Englisch
• ISBN 10: 1119952425
• ISBN 13: 9781119952428
• Einband: Gebundene Ausgabe
• Auflage: 1
• Anzahl der Seiten: 304
• Kontakt zum Hersteller: Wiley-VCH GmbH; product_safety@wiley.com; ; Boschstrasse 12; Weinheim; 69469; Deutschland