English, Article, Journal or magazine article edition: Measuring idiosyncratic risks in leveraged buyout transactions Gottschalg, Oliver; Groh, Alexander Peter; Baule, Rainer

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Bookmark: http://trove.nla.gov.au/version/23459
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Measuring idiosyncratic risks in leveraged buyout transactions
Author
  • Gottschalg, Oliver
  • Groh, Alexander Peter
  • Baule, Rainer
Physical Description
  • preprint
Notes
  • We use a CCA model to calculate implied idiosyncratic risks of LBO transactions. A decisive model feature is the consideration of amortization. From the model, the asset value volatility and the equity value volatility can be derived via a numerical procedure. For a sample of 40 LBO transactions we determine the necessary model parameters and calculate the transactions' implied idiosyncratic risks. We discuss the expected model sensitivities and verify them by variation of the input parameters. With the knowledge of the returns to the equity investors of the LBOs we are able to calculate Sharpe Ratios on individual transaction levels for the first time, thereby fully incorporating the superimposed leverage risks.
  • Idiosyncratic Risk; Private Equity; Benchmarking;
  • RePEc:ebg:iesewp:d-0682
  • The authors use a contingent claims analysis model to calculate the idiosyncratic risks in Leveraged Buyout transactions.
  • Idiosyncratic Risk; LBO; Private Equity; Benchmarking; CCA
  • RePEc:ebg:heccah:0894
Language
  • English
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