Research and publications
On the Suitability of the Calibration of Private Equity Risk in the Solvency II Standard Formula
This publication studies the calibration of private equity risk in the Solvency II standard formula by analysing the correlation of listed share performance, measured through an MSCI index (Europe or the United States, depending on the region we consider in our study) and private equity performance.
Author(s):
Liliana Arias, Mohamed El Hedi Arouri, Philippe Foulquier, Stéphane Gregoir
Summary:
This publication studies the calibration of private equity risk in the Solvency II standard formula by analysing the correlation of listed share performance, measured through an MSCI index (Europe or the United States, depending on the region we consider in our study) and private equity performance.
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Register/Log in| Type : | EDHEC Publication |
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| Date : | 28/04/2010 |
| Keywords : |
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
