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Estimating Operational Risk for hedge funds: The [omega]-Score

Using a complete set of U.S. SEC filing information on hedge funds (Form ADV) and data from the Lipper TASS Hedge Fund Database, the study reported here developed a quantitative model called the ω-score to measure hedge fund operational risk. The ω-score is related to conflict-of-interest issues, concentrated ownership, and reduced leverage in the Form ADV data. With a statistical methodology, the study further related the ω-score to such readily available information as fund performance, volatility, size, age, and fee structures. Finally, the study demonstrated that although operational risk is more significant than financial risk in explaining fund failure, a significant and positive interaction exists between operational risk and financial risk..Printed journal

Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit CFA Institute.,
Edisi -
Subjek Risk management
Investment policy
Hedge funds
studies
Failure
SEC registration
ISBN/ISSN 0015198X
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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