出版社：“Victor Slăvescu‿Centre for Financial and Monetary Research
摘要：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.
关键词：risk dashboard; alternative investment funds;
prudential supervision
