quant-unit/RF_PEF_AM

Reduced Form Private Equity Fund Asset Modeling

Summary

R code performing the analyses for the paper published in the Journal of Risk:

Tausch, Buchner, Schlüchtermann - Modeling the exit cash flows of private equity fund investments (2022)

See also: http://quant-unit.com/reduced-form-private-equity-fund-asset-modeling/

Relevant files

• ExitDynamics_Bivariate.R
• ExitDynamics_Copula2.R
• ExitDynamics_Data_Prep.R
• ExitDynamics_Main.R
• ExitDynamics_Timing.R
• Useful_Functions.R