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Risk Management for LBOs in Buy-and-Hold Portfolios
Year Of Publication: 2006
Month Of Publication: August
Pages: 22
Download Count: 2
View Count: 1008
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 10-2-2013
Publisher: Administrator
Summary
This article compares the standard Basel Risk weights for Private Equity to results from VaR calculations of leveraged buy-outs. We model individual LBO investments using a structural model that makes use of the first passage time probability of a diffusion asset process with respect to some barrier.
Author(s)
Bongaerts, Dion Sign in to follow this author
C_harlier, Erwin Sign in to follow this author
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