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momo · 2024年01月18日

mark-to-model

NO.PZ2023103101000060

问题如下:

Q. A common problem for the “mark-to-model” valuation of private equity funds is most likely:

选项:

A.a violation of accounting rules. B.an understatement of portfolio risk. C.an understatement of interim portfolio return.

解释:

B is correct. Accounting rules require that investments be recorded at their fair value for financial reporting purposes. The fair value of private equity that owns illiquid assets requires certain estimates, rather than observable transaction prices, to be factored into valuation. A model that relies on Level 3 inputs may reflect an imperfect theoretical valuation and not a true liquidation value. The lack of new market information over time may anchor the interim valuation at or near initial cost. The relatively stable accounting valuations may give investors a false sense that they are less volatile. At the same time, there is a potential conflict of interest for the GP to overstate interim return because of the implication for carried interest. As a result, returns may be smoothed or overstated and the volatility of returns understated.

为什么选b呢,是哪个知识点

2 个答案

pzqa35 · 2024年06月23日

嗨,爱思考的PZer你好:


非墨迹版198页

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努力的时光都是限量版,加油!

pzqa35 · 2024年01月19日

嗨,爱思考的PZer你好:


 这个是说采用mark-to-model的估值方式会产生什么样的问题,这个其实是整个另类投资大都会有的问题,就是没有办法获得直接的市场价格,只能用模型来进行估值,那么模型估值就会产生各种各样的bias,导致高估收益,低估风险。所以B选项是对的,它说的是低估了风险。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

cst6666 · 2024年06月23日

想问下是在讲义的哪一部分?

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