{"id":"https://openalex.org/W2012959938","doi":"https://doi.org/10.1142/s0219024904002359","title":"MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS","display_name":"MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS","publication_year":2004,"publication_date":"2004-05-01","ids":{"openalex":"https://openalex.org/W2012959938","doi":"https://doi.org/10.1142/s0219024904002359","mag":"2012959938"},"language":"en","primary_location":{"id":"doi:10.1142/s0219024904002359","doi":"https://doi.org/10.1142/s0219024904002359","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024904002359","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040671095","display_name":"Etienne de Malherbe","orcid":"https://orcid.org/0000-0002-2706-6419","observed_orcids":["https://orcid.org/0000-0002-2706-6419"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Etienne de Malherbe","raw_affiliation_strings":["Rabobank International (Rabobank International is a trading name used by Co\u00f6peratieve Centrale Raiffeisen\u2013Boerenleenbank B.A. which is regulated by the FSA for the conduct of investment business in the United Kingdom.), Thames Court, 1 Queenhithe, London EC4V 3RL, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Rabobank International (Rabobank International is a trading name used by Co\u00f6peratieve Centrale Raiffeisen\u2013Boerenleenbank B.A. which is regulated by the FSA for the conduct of investment business in the United Kingdom.), Thames Court, 1 Queenhithe, London EC4V 3RL, United Kingdom","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5040671095"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.8955,"has_fulltext":false,"cited_by_count":27,"citation_normalized_percentile":{"value":0.91945195,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"07","issue":"03","first_page":"193","last_page":"230"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.7964000105857849,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.7964000105857849,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11903","display_name":"Private Equity and Venture Capital","score":0.14319999516010284,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.011099999770522118,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/private-equity-funds","display_name":"private equity funds","score":0.9980000257492065},{"id":"https://openalex.org/keywords/lognormal-process","display_name":"lognormal process","score":0.8569999933242798},{"id":"https://openalex.org/keywords/squared-bessel-process","display_name":"squared Bessel process","score":0.9229999780654907},{"id":"https://openalex.org/keywords/capital-commitment","display_name":"capital commitment","score":0.3440000116825104}],"concepts":[{"id":"https://openalex.org/C71110296","wikidata":"https://www.wikidata.org/wiki/Q476115","display_name":"Private equity","level":2,"score":0.7173391580581665},{"id":"https://openalex.org/C178297102","wikidata":"https://www.wikidata.org/wiki/Q5978114","display_name":"Private equity fund","level":3,"score":0.6282922029495239},{"id":"https://openalex.org/C202093079","wikidata":"https://www.wikidata.org/wiki/Q5418962","display_name":"Private equity firm","level":3,"score":0.5018620491027832},{"id":"https://openalex.org/C34375142","wikidata":"https://www.wikidata.org/wiki/Q1156684","display_name":"Fund of funds","level":3,"score":0.47601157426834106},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4536629319190979},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3675774931907654},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3510848879814148},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1142/s0219024904002359","doi":"https://doi.org/10.1142/s0219024904002359","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024904002359","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002359","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219024904002359","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1483801101","https://openalex.org/W1591710988","https://openalex.org/W1607503834","https://openalex.org/W1971975617","https://openalex.org/W2015194681","https://openalex.org/W2028047679","https://openalex.org/W2054869858","https://openalex.org/W2143792696","https://openalex.org/W2163208662","https://openalex.org/W2329986772","https://openalex.org/W3021444882","https://openalex.org/W4229765068","https://openalex.org/W4229911014","https://openalex.org/W4231021340","https://openalex.org/W4239542579"],"related_works":["https://openalex.org/W3123980527","https://openalex.org/W2106536011","https://openalex.org/W1985890944","https://openalex.org/W2080553915","https://openalex.org/W2197765226","https://openalex.org/W102242457","https://openalex.org/W2476345669","https://openalex.org/W9436483","https://openalex.org/W2183272554","https://openalex.org/W7046242064"],"abstract_inverted_index":{"The":[0],"recent":[1],"development":[2],"of":[3,6,8,15,21,35,97,103,110,123,135,138],"the":[4,13,16,22,42,45,53,59,70,75,81,95,98,101,104,108,111,121,124,133,136],"securitisation":[5],"funds":[7,11,27,33,90],"private":[9,88],"equity":[10,26,89],"poses":[12],"question":[14,158],"individual":[17],"and":[18,65,74,107,140],"joint":[19],"modelling":[20,96,102,109],"underlying":[23],"funds.":[24],"Private":[25],"are":[28,67,72,130],"different":[29],"from":[30],"other":[31],"managed":[32],"because":[34],"their":[36],"particular":[37],"bounded":[38],"life":[39],"cycle:":[40],"when":[41],"fund":[43,54,76],"starts,":[44],"investment":[46,83,105,125],"partners":[47],"make":[48],"an":[49],"initial":[50,199],"capital":[51,61,213],"commitment,":[52],"managers":[55],"gradually":[56],"draw":[57],"down":[58],"committed":[60],"into":[62],"investments,":[63],"returns":[64],"proceeds":[66],"distributed":[68],"as":[69,80],"investments":[71],"realised":[73],"is":[77,85,118],"eventually":[78],"liquidated":[79],"final":[82],"horizon":[84],"reached.":[86],"Modelling":[87],"therefore":[91],"requires":[92],"three":[93],"stages:":[94],"commitment":[99],"drawdowns,":[100],"value":[106],"return":[112],"repayments.":[113,141],"A":[114],"standard":[115,287],"lognormal":[116,286],"process":[117],"utilised":[119,131],"for":[120,132],"dynamics":[122,134],"value.":[126],"Squared":[127],"Bessel":[128,301],"processes":[129],"rates":[137],"drawdowns":[139],"R\u00e9sum\u00e9:":[142],"Le":[143],"r\u00e9cent":[144],"d\u00e9veloppement":[145],"de":[146,149,151,153,159,170,181,184,265,293,300,310,313],"la":[147,157,160,255,263,266,272,291,294,306],"titrisation":[148],"fonds":[150,152,166,169,206,236,247],"placements":[154,171],"priv\u00e9s":[155,172],"pose":[156],"mod\u00e9lisation":[161,245,256,264,273],"individuelle":[162],"et":[163,187,222,270,276,280,312],"jointe":[164],"des":[165,175,208,218,257,268,274,278,296,308],"sous-jacents.":[167],"Les":[168],"sont":[173,225,232,303],"diff\u00e9rents":[174],"autres":[176],"soci\u00e9t\u00e9s":[177],"d'investissement":[178,241],"\u00e0":[179,217,227],"cause":[180],"leur":[182],"cycle":[183],"vie":[185],"particulier":[186],"limit\u00e9:":[188],"au":[189],"d\u00e9marrage":[190],"du":[191,205],"fonds,":[192],"les":[193,203,220,223,230],"associ\u00e9s":[194],"s'engagent":[195],"sur":[196,211,259,282],"un":[197],"apport":[198],"en":[200,252,261],"capital;":[201],"puis":[202],"g\u00e9rants":[204],"op\u00e8rent":[207],"tirages":[209,258],"progressifs":[210],"le":[212,235],"apport\u00e9":[214],"pour":[215,290,305],"proc\u00e9der":[216],"investissements;":[219],"revenus":[221],"profits":[224],"distribu\u00e9s":[226],"mesure":[228],"que":[229],"investissements":[231,269],"r\u00e9alis\u00e9s;":[233],"enfin,":[234],"est":[237,242,288],"liquid\u00e9":[238],"lorsque":[239],"l'horizon":[240],"atteint.":[243],"La":[244],"d'un":[246],"doit":[248],"donc":[249],"se":[250],"faire":[251],"trois":[253],"\u00e9tapes:":[254],"l'apport":[260],"capital,":[262],"valeur":[267,295],"enfin":[271],"paiements":[275],"remboursements":[277],"dividendes":[279],"retours":[281],"investissements.":[283,297],"Un":[284],"processus":[285,299],"utilis\u00e9":[289],"dynamique":[292,307],"Des":[298],"carr\u00e9":[302],"utilis\u00e9s":[304],"taux":[309],"tirage":[311],"remboursement.":[314]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-09-21T07:43:02.447757","created_date":"2016-06-24T00:00:00"}