
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
Voir/Ouvrir
Type
Communication / ConférenceDate
2012-06Titre du colloque
21st Annual Meeting of the European Financial Management Association - EFMA 2012Date du colloque
2012-06Ville du colloque
BarcelonePays du colloque
EspagnePages
37
Métadonnées
Afficher la notice complèteAuteur(s)
Najar, DorraRésumé (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.Mots-clés
Capital-investissement; Capital-risque; Gouvernement d'entreprise; Private equity; Venture capital; Fund managers; Managerial compensation; Corporate governance; Option pricingJEL
G1 - General Financial MarketsG2 - 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
Publications associées
Affichage des éléments liés par titre et auteur.
-
Johan, Sofia; Najar, Dorra (2011) Communication / Conférence
-
Najar, Dorra (2012-11) Thèse
-
Najar, Dorra; Johan, Sofia (2011) Article accepté pour publication ou publié
-
Aboura, Sofiane (2013-07) Article accepté pour publication ou publié
-
Cumming, Douglas; Fleming, Grant; Johan, Sofia; Najar, Dorra (2013) Chapitre d'ouvrage