There seems to be surprisingly little literature on this topic. If you had a portfolio consisting of an unlisted illiquid private asset class (eg private real estate, direct infrastructure or private equity), valued quarterly, how would you measure its sensitivity to a parallel shift in interest rates?
There are unique obstacles with these asset classes, such as lack of data/smoothed returns, flow-through from the interest rate to the discount rate, impact on income stream, etc.
Does anyone have any experience in this field? Could you point out any good references or papers?