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Practice paper

Market risk calculation for private equity fund-of-funds

Jörg Henzler and Constantine George
Journal of Risk Management in Financial Institutions, 11 (4), 328-360 (2018)
https://doi.org/10.69554/GZGO2445

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

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Author's Biography

Jörg Henzler is Professor of Economics and Financial Markets at the University of Applied Sciences, Trier. He has 25 years of experience in capital markets and asset management. Prior to this, Jörg was Economist and Market Strategist for Industrial Bank of Japan and JP Morgan. Apart from his considerable expertise in investment management, economics and asset allocation strategy, he has been developing new quantitative risk management models for alternative investment funds and acts as independent director in Luxembourg.

Constantine George studied business mathematics at the University of Trier and completed his MSc in 2017. He has mainly focused on applied analysis, numerical and stochastic mathematics, as well as applying these subjects to economic issues. Besides studying, Constantine gained experience in the development of risk models for alternative investment funds during his time as a working student in Luxembourg from 2015 to 2017. In 2017, he joined the risk management department of a renowned company in Luxembourg.

Citation

Henzler, Jörg and George, Constantine (2018, September 1). Market risk calculation for private equity fund-of-funds. In the Journal of Risk Management in Financial Institutions, Volume 11, Issue 4. https://doi.org/10.69554/GZGO2445.

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cover image, Journal of Risk Management in Financial Institutions
Journal of Risk Management in Financial Institutions
Volume 11 / Issue 4
© Henry Stewart
Publications LLP

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