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Hedge Fund Operational Risk: ω-Score Model by Roberto Pereira is a document available to read on EtoBox.
What is Hedge Fund Operational Risk: ω-Score Model about?
The document proposes developing a quantitative model called the ω-Score to measure operational risk in hedge funds. The ω-Score is related to variables in SEC Form ADV filings such as conflict of interest issues, concentrated ownership, and reduced leverage. It then uses statistical methods to map these variables to readily available information in the Lipper-TASS database, such as fund performance, volatility, size, age, and fees, to generate the ω-Score. The study finds operational risk is significant in
- Author
- Roberto Pereira
- Language
- EN