Estimating Operational Risk for Hedge Funds The ω-Score

Abstract

Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, we develop 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 ADV data. With a statistical methodology, we further relate the… (More)

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@inproceedings{Brown2008EstimatingOR, title={Estimating Operational Risk for Hedge Funds The ω-Score}, author={Stephen J. Brown and David S. Loeb and William N. Goetzmann and Edwin J. Beinecke and William Goetzmann and Bing Liang and Christopher Schwarz}, year={2008} }