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dc.contributor.authorBrown, Stephen-
dc.contributor.authorGoetzmann, William-
dc.contributor.authorLiang, Bing-
dc.description.abstractUsing 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.en
dc.format.extent326235 bytes-
dc.titleEstimating Operational Risk for Hedge Funds: The ω-Scoreen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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