A collaboration between CEPRES and Qontigo has resulted in the launch of a new suite of factor risk models, now available in Qontigo's enterprise risk management platform, Axioma Risk. These models offer extensive coverage of the private asset fund space by breaking down the risk of private asset fund returns into both public market factor risk exposures and private asset latent factors. As a result, risk analysis can be conducted for portfolios that contain both public and private assets.
The relationship between public and private market risks has become increasingly important, and modeling the risk of private assets within a multi-asset class portfolio has traditionally been challenging due to the lack of observable, market-traded returns. However, the CEPRES-Qontigo models use verified fund cash flow data that corresponds to fund investments and distributions.
This whitepaper delves into the model calibration and validation approach in great detail.