Skip navigation

Estimating Operational Risk for Hedge Funds: The ω-Score

Authors: Brown, Stephen
Goetzmann, William
Liang, Bing
Issue Date: Jan-2008
Series/Report no.: FIN-08-001
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 ω-Score to readily available information such as fund performance, volatility, size, age, and fee structures. Finally, we demonstrate that this risk score can be used to effectively predict fund failures in the future.
Appears in Collections:Finance Working Papers

Files in This Item:
File Description SizeFormat 
wpa08001.pdf318.59 kBAdobe PDFView/Open

Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.