Text
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 Number | Location | Available |
|---|---|---|
| FAJ6501 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Virginia: CFA Institute 2009 |
|---|---|
| Edisi | Vol. 65, No. 1, Jan. - Feb., 2009 |
| Subjek | Risk management Investment policy Hedge funds studies Failure SEC registration |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 10 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |