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Cash flow simulation and model comparison in private credit

Show simple item record 2022-01-26T08:22:46Z 2022-01-26T08:22:46Z 2022-01-26
dc.title Cash flow simulation and model comparison in private credit en
ethesis.faculty Matemaattis-luonnontieteellinen tiedekunta fi
ethesis.faculty Faculty of Science en
ethesis.faculty Matematisk-naturvetenskapliga fakulteten sv
ethesis.faculty.URI Helsingin yliopisto fi University of Helsinki en Helsingfors universitet sv
dct.creator Virtanen, Jussi
dct.issued 2022 xx
dct.abstract In the thesis we assess the ability of two different models to predict cash flows in private credit investment funds. Models are a stochastic type and a deterministic type which makes them quite different. The data that has been obtained for the analysis is divided in three subsamples. These subsamples are mature funds, liquidated funds and all funds. The data consists of 62 funds, subsample of mature funds 36 and subsample of liquidated funds 17 funds. Both of our models will be fitted for all subsamples. Parameters of the models are estimated with different techniques. The parameters of the Stochastic model are estimated with the conditional least squares method. The parameters of the Yale model are estimated with the numerical methods. After the estimation of the parameters, the values are explained in detail and their effect on the cash flows are investigated. This helps to understand what properties of the cash flows the models are able to capture. In addition, we assess to both models' ability to predict cash flows in the future. This is done by using the coefficient of determination, QQ-plots and comparison of predicted and observed cumulated cash flows. By using the coefficient of determination we try to explain how well the models explain the variation around the residuals of the observed and predicted values. With QQ-plots we try to determine if the values produced of the process follow the normal distribution. Finally, with the cumulated cash flows of contributions and distributions we try to determine if models are able to predict the cumulated committed capital and returns of the fund in a form of distributions. The results show that the Stochastic model performs better in its prediction of contributions and distributions. However, this is not the case for all the subsamples. The Yale model seems to do better in cumulated contributions of the subsample of the mature funds. Although, the flexibility of the Stochastic model is more suitable for different types of cash flows and subsamples. Therefore, it is suggested that the Stochastic model should be the model to be used in prediction and modelling of the private credit funds. It is harder to implement than the Yale model but it does provide more accurate results in its prediction. en
dct.subject private credit fund
dct.subject model comparison
dct.subject cash flow
dct.subject simulation
dct.subject Stochastic model
dct.subject Yale model
ethesis.isPublicationLicenseAccepted true
ethesis.language englanti fi
ethesis.language English en
ethesis.language engelska sv
ethesis.thesistype pro gradu -tutkielmat fi
ethesis.thesistype master's thesis en
ethesis.thesistype pro gradu-avhandlingar sv
dct.identifier.ethesis E-thesisID:9e808c31-4664-42ac-80c3-5bd4bde80ff0
dct.identifier.urn URN:NBN:fi:hulib-202201261118
dct.alternative Kassavirtasimulointi ja mallivertailu listaamattomissa lainoissa fi
ethesis.facultystudyline Tilastotiede fi
ethesis.facultystudyline Statistics en
ethesis.facultystudyline Statistik sv
ethesis.mastersdegreeprogram Matematiikan ja tilastotieteen maisteriohjelma fi
ethesis.mastersdegreeprogram Master 's Programme in Mathematics and Statistics en
ethesis.mastersdegreeprogram Magisterprogrammet i matematik och statistik sv

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