The VAR Implementation Handbook, Chapter 14 - A Model to Measure Portfolio Risks in Venture Capital PDF Download

Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 007173273X
Category : Business & Economics
Languages : en
Pages : 32

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Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Author: Andreas Kemmerer
Publisher:
ISBN:
Category :
Languages : en
Pages : 28

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Book Description
This study constructs and evaluates a risk model for the venture capital industry in which the CreditRisk+ model is adjusted to calculate loss distributions for venture capital portfolios. A forward entry regression with macroeconomic factors as independent variables is used as the procedure to extract systematic factors for the sector analysis. The coefficient of determination R² divides the risk into one idiosyncratic risk factor and several systematic risk factors. Under the assumption that macroeconomic factors are independent, the improvement of the R² of each forward entry is considered as the weight of the entered factor. Further, under the assumption that all relevant systematic risk factors are incorporated in the model, the systematic risk is entirely explained. The remaining unexplained sample variance is considered the idiosyncratic risk.The introduced risk model is empirically tested using a portfolio of venture capital financed companies. The database contains more than 2,000 European venture capital-backed companies over the period 1998-2004. The results are highly significant and show that the model is applicable to modelling portfolio risks for venture capital portfolios.

Author: Gregory Connor
Publisher: Princeton University Press
ISBN: 1400835291
Category : Business & Economics
Languages : en
Pages : 400

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Book Description
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Author: Andreas Kemmerer
Publisher:
ISBN:
Category :
Languages : en
Pages : 26

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Book Description
Previous risk management in the venture capital industry has focused mainly on qualitative risk management, such as team selection and due diligence. As investment volume has increased during the past decade, and as venture capital becomes more important as an asset class for institutional investors, rules of thumb do not apply any more. Furthermore, high-risk management standards, which are common and established for other assets, are demanded for this asset class. In his study, Kemmerer (2005) introduced a risk model for venture capital portfolios by adjusting the CreditRisk+ model to fit the characteristics of venture capital. The input parameter, quot;default rate,quot; is entered as the calculated long-term average of the companies' sector. Based on the initial idea of this approach, the current study's aim is to develop a risk model which considers time-dependent default rates as input parameters which are adjusted yearly. By using time-dependent default rates, instead of long-term average default rates, it is expected that the predictability of the model will increase. This assumption is plausible, because historical regression results, with the default rate as the dependent variable, are highly significant, and demonstrate an outstanding explanation of the coefficient of determination. The empirical results strongly support the assumption that the introduced model measures risks more accurately than the original model. By using time-dependent default rates, instead of long-term average default rates, the predictability of losses increases significantly.

Author: Phillip Ryan
Publisher: The Rosen Publishing Group, Inc
ISBN: 1448867959
Category : Juvenile Nonfiction
Languages : en
Pages : 82

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Book Description
Explanations to the inner workings of one of the least understood, but arguably most important, areas of business finance is offered to readers in this engaging volume: venture capital. Venture capitalists provide necessary investment to seed (or startup) companies, but the startup is only the beginning, there is much more to be explored. These savvy investors help guide young entrepreneurs, who likely have little experience, to turn their businesses into the Googles, Facebooks, and Groupons of the world. This book explains the often-complex methods venture capitalists use to value companies and to get the most return on their investments, or ROI. This book is a must-have for any reader interested in the business world.

Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071732705
Category : Business & Economics
Languages : en
Pages : 26

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Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Author: Thomas Meyer
Publisher: John Wiley & Sons
ISBN: 1119952816
Category : Business & Economics
Languages : en
Pages : 309

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Book Description
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

Author: Elisa Luciano
Publisher: MDPI
ISBN: 3039216244
Category : Business & Economics
Languages : en
Pages : 224

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Book Description
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Author: IMCA
Publisher: John Wiley & Sons
ISBN: 0471480614
Category : Business & Economics
Languages : en
Pages : 286

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Book Description
The ultimate source for risk management information Before entering into any investment, the risk of that venture must be identified and quantified. The Handbook of Risk provides in-depth coverage of risk from every possible angle and illuminates the subject by covering the quantitative and and behavioral issues faced by investment professionals on a day-to-day basis. This valuable reference offers a prescriptive and descriptive treatment of risk management for those looking to control, contain, and minimize the risk of their investments. The Handbook of Risk is also a perfect companion for professionals looking to complete IMCA certification courses. Ben Warwick (Denver, CO) is the "Market View" columnist for worldlyinvestor.com and Chief Investment Officer of Sovereign Wealth Management, Inc. He has written numerous books, including The WorldlyInvestorGuide to Beating the Market (Wiley: 0471215317), and Searching for Alpha (Wiley: 0471348228). IMCA (The Investment Management Consultants Association) is a professional association established in 1990 that represents the investment consulting profession in the United States and Canada. Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Author: Henrik Hult
Publisher: Springer Science & Business Media
ISBN: 146144103X
Category : Mathematics
Languages : en
Pages : 343

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Book Description
Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions. In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight. This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.