Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2006-01-18
2010-02-02
Kalinowski, Alexander (Department: 3691)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
Reexamination Certificate
active
07657478
ABSTRACT:
A method for estimating future cash flows of an investment instrument (or portfolio of investment instruments) is performed by simulating past performance (i.e., cash flows) similar instruments based on actual data of past performance, using the simulated past performance to generate a distribution of possible future performance outcomes of the investment instrument, and using the distribution of possible future performance outcomes to make estimates of the expected cash flow from the investment instrument. In one embodiment, cash flow time series of private equity funds (J-curves) are simulated for fully-liquidated vintage years by scaling an aggregate net cash flow time series from a plurality of fully liquidated funds for that vintage year. The time series is scaled by scalar coefficients calculated based on statistics of the four parameters, internal rate of return, money multiple, depth of curve, and speed to depth, of the aggregated vintage fund J-curves.
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De Diego Arozamena Alfredo
Polizu Cristina
Tang Ming
Kalinowski Alexander
Preston John O
Rothwell, Figg Ernst & Manbeck, PC
Standard & Poor's Financial Services LLC
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