Mastering Illiquidity

Mastering Illiquidity

by Peter Cornelius, Christian Diller, Didier Guennoc 
and Thomas Meyer

John Wiley & Sons, 
Chichester, May 2013

 

Mastering Illiquidity

Mastering Illiquidity  - Risk Management for Portfolios of Limited Partnership Funds - has been published by John Wiley & Sons in May 2013 and is co-authored by Didier Guennoc and Thomas Meyer. It builds on the work done on behalf of the EVCA Private Equity Risk Measurement Guidelines.

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, such as private equity and real assets, 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, usually ten years or even more. Harvesting the illiquidity risk premium requires specific risk management techniques, however, which are the subject of this book.

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