论文标题
回报的再保险中的流动性价格
Price of liquidity in the reinsurance of fund returns
论文作者
论文摘要
本文旨在将下行保护扩展到对冲基金投资组合，基于共享损失费结构在市场上越来越受欢迎。特别是，我们考虑了第二款批次，并建议购买一份前期再保险合同，以超过第一款损失的资金损失，即获得全面的投资组合保护。我们将基金的基本流动性确定为关键参数，并使用两种方法研究此额外再保险的定价：首先，基于黑色 - 链式框架的分析封闭形式解决方案，其次是使用马尔可夫切换模型的数值模拟。此外，还实施了一种简化的回测方法来评估该概念的实际应用。
This paper aims to extend downside protection to a hedge fund investment portfolio based on shared loss fee structures that have become increasing popular in the market. In particular, we consider a second tranche and suggest the purchase of an upfront reinsurance contract for any losses on the fund beyond the threshold covered by the first tranche, i.e. gaining full portfolio protection. We identify a fund's underlying liquidity as a key parameter and study the pricing of this additional reinsurance using two approaches: First, an analytic closed-form solution based on the Black-Scholes framework and second, a numerical simulation using a Markov-switching model. In addition, a simplified backtesting method is implemented to evaluate the practical application of the concept.
