IRR 18%
β 1.2
VaR 8%
α 3.5%
Quant Valuation Platform

Risk-Adjusted Investment Valuation

Simulated risk-return curves, VaR@99, and illiquidity premiums for pricing illiquid and mixed-asset portfolios—used to value $2B+ in PE and VC assets.

$2B+
Assets valued
95%
Audit acceptance
30+
PE/VC clients
99%
VaR confidence

The Valuation Framework

From market data to risk-adjusted fair value

Market Curve
Risk Quantification
Illiquidity Premium
Return Estimation
Valuation
1
Market Curve
Construct risk-free curve and market benchmark
• Yield curve
• Market risk premium
• Sector benchmarks
2
Risk Quantification
Decompose and measure portfolio risks
• Beta coefficients
• Volatility estimates
• Correlation matrix
3
Illiquidity Premium
Calculate premium for illiquid assets
• Tabak premium
• Bid-ask spread
• Volume discount
4
Return Estimation
Model expected returns under constraints
• CAPM returns
• Multi-factor alphas
• Scenario weights
5
Valuation
Apply risk adjustments to fair value
• Fair value estimate
• Confidence bands
• Audit trail

Core Features

Six quantitative engines for illiquid asset valuation

Simulated Risk-Return Curve

Portfolio-wide curve using beta inflection and VaR@99

Construct efficient frontier using Monte Carlo simulations with beta inflection points, tail risk measures, and portfolio optimization under illiquidity constraints.

Beta inflection
VaR@99 calculation
Monte Carlo simulation
Efficient frontier

Illiquidity Premium Modeling

Tabak model with non-parametric estimation

Risk Quantification

Systematic, unsystematic, and fidelity risk scoring

Gross Risk Estimator

Continuous stream simulation from discrete portfolio data

Return Estimation

Parametric and semi-parametric return modeling

Valuation Mapping

Final valuation overlay using adjusted risk-return metrics

Quantitative Risk Metrics

Industry-standard measures with simulation-based enhancements

VaR @ 99%
Maximum loss at 99% confidence
μ - 2.33σ
Use: Downside risk quantification
Beta (β)
Systematic risk vs. market
Cov(R,Rm) / Var(Rm)
Use: Market sensitivity
Sharpe Ratio
Risk-adjusted return
(R - Rf) / σ
Use: Performance comparison
Illiquidity Premium
Compensation for low liquidity
f(spread, volume, days)
Use: Discount rate adjustment
Fidelity Risk
Manager-specific component
σ_total² - β²σ_m² - σ_ε²
Use: Manager evaluation
Tail Risk
Extreme event probability
P(R < VaR)
Use: Stress scenario planning

Asset Class Coverage

Specialized solutions for illiquid and alternative investments

Private Equity

Challenges
No market prices
Infrequent valuations
Long holding periods
Limited comparables
Our Solutions
Simulated beta curves
Illiquidity premiums
Peer benchmarking
Exit scenario modeling

Venture Capital

Challenges
High uncertainty
Binary outcomes
Sparse data
Stage-dependent risk
Our Solutions
Real options valuation
Probability weighting
Comparable analysis
Milestone-based adjustments

Real Assets

Challenges
Unique properties
Location-specific
Market cycles
Illiquid markets
Our Solutions
DCF with illiquidity
Cap rate adjustments
Market timing
Comparable transactions

Mixed Portfolios

Challenges
Correlation estimation
Different risk profiles
Aggregation issues
Diversification benefits
Our Solutions
Copula models
Risk decomposition
Portfolio simulation
Consolidated metrics

Real-World Applications

How PE, VC, and asset managers use our platform

Private Equity
Portfolio company valuation for quarterly NAV reporting
Before
Manual comparable analysis, subjective adjustments
After
Automated beta curves, objective illiquidity premiums
Venture Capital
Early-stage startup pricing for fundraising rounds
Before
Rule-of-thumb multiples, limited quantification
After
Real options framework, probability-weighted scenarios
Family Office
Mixed portfolio valuation across liquid and illiquid holdings
Before
Separate models per asset, no unified risk view
After
Consolidated risk framework, portfolio-level VaR
Asset Management
Fair value estimates for Level 2/3 assets under IFRS 13
Before
External vendor quotes, limited transparency
After
In-house quant models, full audit documentation

Quant-Grade Methodology

Used by PE and VC firms to price over $2B in illiquid assets

IFRS 13 compliant
Auditor validated
Monte Carlo certified
LP-ready reports

Price your illiquid portfolio with confidence

See how leading PE and VC firms automate fair value estimates with quant-grade models