Format:
1 Online-Ressource (319 Seiten)
Edition:
1st ed
ISBN:
9781394159628
Series Statement:
The Wiley Finance Series
Note:
Description based on publisher supplied metadata and other sources
,
Cover -- Title Page -- Copyright Page -- Contents -- Acknowledgements -- Chapter 1 Introduction -- Scope of the book -- Quick glossary -- The challenge of private capital -- Risk and uncertainty -- Why do we need commitment pacing? -- Illiquidity -- The siren song of the secondary market -- How does commitment pacing work? -- Significant allocations needed -- Multi-asset-class allocations -- Intra-asset-class diversification -- Engineering a resilient portfolio -- Organisation of the book -- Notes -- Chapter 2 Institutional Investing in Private Capital -- Limited partnerships -- Structure -- Criticism -- Costs of intermediation -- Inefficient fund raising -- Addressing uncertainty -- Conclusion -- Notes -- Chapter 3 Exposure -- Exposure definition -- Layers of investment -- Net asset value -- Undrawn commitments -- Commitment risk -- Timing -- Classification -- Exposure measures - LP's perspective -- Commitment -- Commitment minus capital repaid -- Repayment-age-adjusted commitment -- Exposure measures - fund manager's perspective -- IPEV NAV -- IPEV NAV plus uncalled commitments -- Repayment-age-adjusted accumulated contributions -- Summary and conclusion -- Notes -- Chapter 4 Forecasting Models -- Bootstrapping -- Machine learning -- Takahashi-Alexander model -- Model dynamics -- Strengths and weaknesses -- Variations and extensions -- Stochastic models -- Stochastic modelling of contributions, distributions, and NAVs -- Comparison -- Conclusion -- Notes -- Chapter 5 Private Market Data -- Fund peer groups -- Organisation of benchmarking data -- Bailey criteria -- Data providers -- Business model -- Public route -- Voluntary provision -- Problem areas -- Biases -- Survivorship bias -- Survivorship bias in private markets -- Impact -- Conclusion -- Notes -- Chapter 6 Augmented TAM - Outcome Model -- From TAM to stochastic forecasts
,
Use cases for stochastic cash-flow forecasts -- Funding risk -- Market risk -- Liquidity risk -- Capital risk -- Model architecture -- Outcome model -- Pattern model -- Portfolio model -- System considerations -- Semi-deterministic TAM -- Adjusting ranges for lifetime and TVPI -- Ranges for fund lifetimes -- Ranges for fund TVPIs -- Picking samples -- Constructing PDF for TVPI based on private market data -- A1*TAM results -- Notes -- Chapter 7 Augmented TAM - Pattern Model -- A2*TAM -- Reactiveness of model -- Model overview -- Changing granularity -- Injecting randomness -- Setting frequency of cash flows -- Setting volatility for contributions -- Setting volatility for distributions -- Scaling and re-picking cash-flow samples -- Convergence A2*TAM to TAM -- Split cash flows in components -- Fees -- Fixed returns -- Cash-flow-consistent NAV -- Principal approach -- First contributions, then distributions -- Forward pass -- Backward pass -- Combination -- Summary -- Notes -- Chapter 8 Modelling Avenues into Private Capital -- Primary commitments -- Modelling fund strategies -- Parameter as suggested by Takahashi and Alexander (2002) -- Further findings on parameters -- Basing parameters on comparable situations -- Funds of funds -- Secondary buys -- Secondary FOFs -- Co-investments -- Basic approach -- Co-investment funds -- Syndication -- Side funds -- Impact on portfolio -- Notes -- Chapter 9 Modelling Diversification for Portfolios of Limited Partnership Funds -- The LP diversification measurement problem -- Fund investments -- Diversification or skills? -- Aspects of diversification -- A (non-ESG-compliant) analogy -- Commitment efficiency -- Exposure efficiency -- Outcome assessment -- Diversifying commitments -- Assigning funds to clusters -- Diversification dimensions -- Self-proclaimed definitions -- Market practices
,
The importance of diversification over vintage years -- Other dimensions and their impact on risks -- Include currencies? -- Definitions -- Styles -- Classification groups -- Style drifts -- Robustness of classification schemes -- Modelling Vintage year impact -- Commitment efficiency -- Importance of clusters -- Partitioning into clusters -- Measurement approach -- Remarks -- Mobility barriers -- Similarity is a measure for barriers to switching between classes -- Similarity is not correlation -- Is there an optimum diversification? -- How many funds? -- Costs of diversification -- How to set a 'satisficing' number of funds? -- Portfolio impact -- Commitment efficiency timeline -- Portfolio-level forecasts -- Appendix A - Determining similarities -- Appendix B - Geographical similarities -- Geographical diversification for private capital -- Regional groups -- Trade blocs -- Transport way connection -- Language barriers -- Limits to geography as diversifier -- Appendix C - Multi-strategies and others -- Appendix D - Industry sector similarities -- Appendix E - Strategy similarities -- Appendix F - Fund management firm similarities -- Appendix G - Investment stage similarities -- Appendix H - Fund size similarities -- Notes -- Chapter 10 Model Input Data -- Categorical input data -- Perceptions -- Regulation -- Risk managers -- Can data be objective? -- Moving from weak to strong data -- Notes -- Chapter 11 Fund Rating/Grading -- Private capital funds and ratings -- Fiduciary ratings -- Fund rankings -- Internal rating systems -- Further literature -- Private capital fund gradings -- Scope and limitations -- Selection skill model -- Assumptions for grading -- Prototype fund grading system -- Ex-ante weights -- Expectation grades -- Risk grades -- Quantification -- Notes -- Chapter 12 Qualitative Scoring -- Objectives and scope -- Relevant dimensions
,
Investment style -- Management team -- Fund terms -- Liquidity and exits -- Incentive structure -- Alignment and conflicts of interest -- Independence of decision-making -- Viability -- Confirmation -- Scoring method -- Tallying -- Researching practices -- Ex-post monitoring -- Assigning grades -- Appendix - Search across several private market data providers -- Interoperability -- Matching -- Notes -- Chapter 13 Quantification Based on Fund Grades -- Grading process -- Quartiling -- Quantiles -- Quartiling -- Approach -- Example - how tall will she be? -- Probabilistic statement -- Controlling convergence -- LP selection skills -- Impact of risk grade -- TVPI sampling -- Notes -- Chapter 14 Bottom-up Approach to Forecasting -- Look-through -- Regulation -- Fund ratings -- Look-through in practice -- Bottom-up -- Stochastic bottom-up models -- Machine-learning-based bottom-up models -- Overrides -- Investment intelligence -- Advantages and restrictions -- Treatment as exceptions -- Integration of overrides in forecasts by a top-down model -- Probabilistic bottom-up -- Expert knowledge for probability density functions? -- Estimating ranges -- Combining top-down with bottom-up -- Notes -- Chapter 15 Commitment Pacing -- Defining a pacing plan -- Pacing phases -- Ramp-up phase -- Maintenance phase -- Ramp-down phase -- Controlling allocations -- Simulating the pacing plan -- Ratio-based commitment rules -- Dynamic commitments -- Pacing plan outcomes -- 'Slow and steady' -- Accelerated pacing plan -- Liquidity constraints -- Impact on cash-flow profile -- Impact of commitment types -- Maintenance phase -- Recommitments -- Target NAV -- Cash-flow matching -- Additional objectives and constraints -- Commit to high-quality funds -- Achieve intra-asset diversification -- Minimise opportunity costs -- Satisficing portfolios -- Conclusion -- Notes
,
Chapter 16 Stress Scenarios -- Make forecasts more robust -- Communication -- Specific to portfolio -- Impact of 'Black Swans' -- Interest rates and inflationary periods -- Modelling crises -- Delay of new commitments -- Changes in contribution rates -- Changes in distributions -- NAV impact and secondary transactions -- Lessons -- Building stress scenarios -- Market replay -- Varying outcomes -- Foreign exchange rates -- Varying portfolio dependencies -- Increasing and decreasing outcome dependencies -- Increasing and decreasing cash-flow dependencies -- Blanking out periods of distributions -- Varying patterns -- Stressing commitments -- Extending and shortening of fund lifetimes -- Front-loading and back-loading of cash flows -- Foreign exchange rates and funding risk -- Increasing and decreasing frequency of cash flows -- Increasing and decreasing volatility of cash flows -- Conclusion -- Notes -- Chapter 17 The Art of Commitment Pacing -- Improved information technology -- Direct investments -- Use of artificial intelligence -- Risk of Private Equity -- Securitisations -- Judgement, engineering, and art -- Notes -- Abbreviations -- Glossary -- Biography -- Bibliography -- Index -- EULA.
Additional Edition:
Erscheint auch als Druck-Ausgabe Meyer, Thomas The Art of Commitment Pacing Newark : John Wiley & Sons, Incorporated,c2024 ISBN 9781394159604
Language:
English
