Estimating fund manager fees using option pricing model
Najar, Dorra (2012-06), Estimating fund manager fees using option pricing model, 21st Annual Meeting of the European Financial Management Association - EFMA 2012, 2012-06, Barcelone, Espagne
TypeCommunication / Conférence
Conference title21st Annual Meeting of the European Financial Management Association - EFMA 2012
MetadataShow full item record
Abstract (EN)This paper analyses the private equity fund compensation. We build a model to estimate the expected revenue of fund managers as a function of their investor contracts. We tried to evaluate the present value of the carried interest, which is one of the most common profit sharing arrangements observed in private equity funds. We applied the Monte Carlo simulation model and we introduced the non-marketability disco unt of the carried interest in order to calculate its fair value. The purpose of this paper is to determine the sensitivity of the expected carried interest fair value to the variation of its optional parameters.
Subjects / KeywordsCapital-investissement; Capital-risque; Gouvernement d'entreprise; Private equity; Venture capital; Fund managers; Managerial compensation; Corporate governance; Option pricing
JELG1 - General Financial Markets
G2 - Financial Institutions and Services
G3 - Corporate Finance and Governance
G17 - Financial Forecasting and Simulation
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
G34 - Mergers; Acquisitions; Restructuring; Corporate Governance
Showing items related by title and author.