A Latent Factor Cash Flow Model for Alternative Investment Funds
针对私募股权、房地产等另类投资基金的有限合伙人，提出一个结合宏观经济因子和基金特有随机性的现金流模型，支持压力测试、承诺策略设计和多资产组合风险管理。
We develop a method to assess cash flow risk faced by limited partners in private investment funds, including private equity, real estate, private credit, and infrastructure. Building on the Takahashi–Alexander model, our framework incorporates systematic economic factors and fund-specific randomness into capital call and distribution rates, along with a factor-based public market equivalent for growth. This structure links cash flow dynamics to macroeconomic conditions, enabling scenario analysis and stress testing. We demonstrate how the model supports stress testing, commitment strategy design, and multi-asset portfolio risk management, offering a practical tool for navigating uncertainty in private markets.