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A Risk Assessment Framework For Alternative Investment Funds, Both At Fund Level And Market Level

Author

Listed:
  • PANAIT, Iulian

    (Faculty of Economics, Hyperion University, Bucharest, Romania.)

  • BARANGA, Paul

    (Faculty of Finance and Banking, Bucharest University of Economic Studies, Bucharest, Romania.)

Abstract

In this paper we propose an integrated approach to assessing risk for alternative investment funds, both at micro and macro (market) level. Building upon the experience and practice in European Supervisory Agencies and different National Competent Authorities on assessing risk for other type of financial intermediaries (ex. banks, insurance companies), we construct a risk dashboard for Alternative Investment Funds. Our proposed framework includes multiple categories of indicators and has both a time series approach and a cross sectional approach. At the same time, the proposed risk scoring can be calibrated using mechanically computed thresholds and expert judgment, in different combinations. The result is a new and flexible framework that can accommodate situations when not enough observations are available in the time series to compute mechanically the risk scores. In addition, it serves asset managers for their mandatory self-assessments and market supervisors in making relevant comparisons between the industry participants.

Suggested Citation

  • PANAIT, Iulian & BARANGA, Paul, 2018. "A Risk Assessment Framework For Alternative Investment Funds, Both At Fund Level And Market Level," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(2), pages 38-51, June.
    • Handle: RePEc:vls:finstu:v:22:y:2018:i:2:p:38-51
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    Cited by:

    1. Baranga Laurentiu Paul, 2019. "Operational risk assessment at investment funds level," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 13(1), pages 162-170, May.

    More about this item

    Keywords

    risk dashboard; alternative investment funds; prudential supervision;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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