Private Capital Fund Risk Modeling – A simulation approach customized for the Solvency II framework
This fund level model helps you to estimate Value-at-Risks for portfolios of private equity funds. Monte Carlo and machine learning methods are applied to create a flexible and easy-to-use simulation tool. The non-parametric sampling of return residuals enables you to reproduce the idiosyncratic return characteristics of private asset classes in a very accurate manner.
My master’s thesis emerged in the course of a research project supported by AssetMetrix GmbH, i.e. one of Europe’s leading provider of high-end analytics and tailored asset servicing for private capital investors.
You can download the PDF file here.
Find the R code and data on GitHub.
PCFRM30Oct2016