Boston QWAFAFEW Meeting: Tuesday, 15 Sep 2015 – Optimal Deal Flow for Illiquid Assets



Next Boston QWAFAFEW Meeting: Tuesday, 15 Sep 2015


Time: 6:15 PM sharpe

3rd Floor of the Tennis & Racquet Club, 939 Boylston Street



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 Optimal Deal Flow for Illiquid Assets


A QWAFAFEW discussion led by:


Emilian Belev and Richard Gold




MPT has largely avoided the question of what to do with illiquid assets. This is not surprising since as their name implies illiquids operate under different conditions than that of their liquid cousins. Appraisal-based, rather than auction-based pricing, large lumpy assets, and sales cycles often measured in months, rather than milliseconds, are just a few of the differences between the asset classes and also some of the reasons why illiquids have not been the darling of academics and also not easy to fit in standard models. This in turn has made it more difficult for owners of illiquid assets to directly address the fundamental issue facing all investors: what to buy, when to buy, and finally when to sell.

Recognizing that owners of illiquid assets cannot take the same path as their stock and bond counterparts, we present a solution which merges techniques from fundamental and quantitative finance to tackle this problem in a unique but sensible manner. By fully integrating illiquids into the same pantheon as traditional holdings, investors can now concentrate their efforts on how to maximize their risk-adjusted returns rather than mulling over the best way to simply calculate their risk-adjusted returns.


This presentation is based on Emilian Belev’s and Rick Gold’s paper, “Optimal Deal Flow for Illiquid Assets” was named the ARES Practitioners Award/Best Research Paper by a Practitioner for 2015, by the American Real Estate Society.




Emilian Belev has led the development of Northfield’s Enterprise Risk analytics for the last 15 years. His responsibilities include modeling equity and fixed income, currency, interest rate, and credit derivatives, structured products, directly owned real estate, private equity and infrastructure, and developing an integrated framework for these asset classes to be analyzed side-by-side in a coherent, accurate, and economically logical fashion.

Emilian has introduced various innovative methodologies in the areas of convertible bonds modeling, MBS path dependency, efficiency of numerical derivative pricing algorithms, credit risk among tranches of seniority, infrastructure investments, and directly owned real estate. Emilian has presented on some of these topics at various industry events in North America and Europe.

Prior to joining Northfield, Emilian was with State Street Global Advisors. Emilian is an actively involved CFA, holder of the Certificate in Advanced Risk and Portfolio Management, a member and founding member of respectively QWAFAFEW Boston and QWAFAFEW Toronto, a member of the PRMIA expert advisory group for Market Risk, and a winner of the 2013 PRMIA award for New Frontiers in Risk Management.


Richard Gold is a senior risk analyst at Northfield focusing on the company’s risk modeling for private and public real estate as well as infrastructure and private equity. In addition, he is also responsible for Northfield’s Global and U.S. REIT models.

Prior to joining Northfield, Richard was Senior Director-Real Estate Research and Investment Strategy for Grosvenor Americas and Grosvenor Investment Management USA. He was responsible for promoting the company’s research perspective both internally and to the company’s clients as well as managing new product development.

From 1994 to 2001 he led the Real Estate Equity and Business Applications Modeling Team at Lend Lease Real Estate Investments, with a team that developed both economic and spatially-based (GIS) real estate market and portfolio forecasting models for commercial real estate investment funds. Richard has held senior real estate research positions at Aetna Life & Casualty Co. and Unum Life Insurance. Early in his career, he developed one of the first commercial real estate econometric forecasting models for F.W. Dodge and was a senior regional economist at DRI.


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Questions, comments:



Steerage Committee

Hugh Crowther (Treasurer)

Dan diBartolomeo

Steve Gaudette

Mark Kritzman

John Minahan

Donna Cool Murphy (Dinners)

Larry Pohlman

Dan Potter

Dan Rie

Evan Schulman

Michael Wilcox


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