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Risk Management under UCITS III / New Challenges for the Fund Industry
- Author / Creator
- Available as
- Online
- Summary
-
Risk Management under UCITS III/IV shows how asset managers, fund administrators, management companies and risk departments can satisfy the various financial regulators, which govern European marke...
Risk Management under UCITS III/IV shows how asset managers, fund administrators, management companies and risk departments can satisfy the various financial regulators, which govern European markets, that they have adequate risk monitoring procedures in place for the funds they manage or administer. The book explains all the requirements for risk management under the new UCITS III/IV regime, as well as the universe of financial instruments which can be used by portfolio managers, and identifies their associated risks and possible mitigation strategies. It is therefore required read.
Details
- Creator
- IV
- Format
- Books
- Language
- English
- Publication
-
- London : Wiley, 2013
- Series
- Physical Details
-
- 1 online resource (290 pages)
- ISBNs
- 9781118557709, 1118557700, 9781118621783, 1118621786, 9781848212107
- OCLC
- ocn830161840
- 5.5.3. Determination and monitoring of counterparty risk associated with OTC derivative financial instruments.
- Cover; Title Page; Copyright Page; Table of Contents; Introduction; Acknowledgements; PART I. WHAT YOU HAVE TO KNOW ABOUT UCITS TO UCITS III; Chapter 1. UCITS to UCITS III; 1.1. UCITS primer and market size; 1.1.1. UCITS: a brand relying on investor protection; 1.2. UCITS -- a success story: from UCITS to UCITS III/IV; 1.2.1. From UCITS to UCITS III/IV; 1.2.2. Management Directive -- EU Directive 2001/107/EC; 1.2.3. The Product Directive -- EU Directive 2001/108/EC; 1.2.4. Types of eligible assets: CESR advice and the EU Directive on eligible assets
- 1.2.5. UCITS authorized investment strategies and interest in alternative strategies1.3. Conclusion -- focus on risk management; Chapter 2. Risk Management History: From Banks to the Asset Management Industry; 2.1. Insight on risk management; 2.1.1. What is risk management?; 2.1.2. The need for sound risk management has never been so important as today; 2.2. A Brief History of Risk Management; 2.2.1. A short history of risk management: 1900-2009; 2.2.2. Conclusion; 2.3. From Risk Management to Value-at-Risk; 2.3.1. Diverse mathematics; 2.3.2. Actuarial works; 2.3.3. Political economy
- 2.3.4. 1930s England2.3.5. Financial theory; 2.3.6. Finance as a community of practice; 2.4. From Portfolio Theory and Capital Requirements to UCITS; Chapter 3. Definition of the Value-at-Risk; 3.1. VaR calculation models; 3.1.1. Variance-covariance or delta-normal; 3.1.2. Easy VaR calculation with variance-covariance; 3.1.3. Historical simulation; 3.2. Monte Carlo simulation; 3.2.1. Monte Carlo simulation: VaR calculation with PMS; 3.3. Conclusion; 3.3.1. Mapping of complex instruments; PART II. UCITS RISK MANAGEMENT; Chapter 4. UCITS III Risk Management Process and Taxonomy of Risks
- 4.1. Risk manager's role and responsibilities4.2. Taxonomy of risks; 4.2.1. Market risk; 4.2.2. Liquidity risk; 4.2.3. Counterparty risk; 4.2.4. Concentration risk; 4.2.5. Credit risk; 4.2.6. Currency risk; 4.2.7. Derivative risk; 4.2.8. Interest rate risk; 4.2.9. Valuation risk; Chapter 5. Risk Management Organization; 5.1. Risk standards; 5.1.1. Appropriate board and management company oversight; 5.1.2. Procedure and control; 5.1.3. New products and activities; 5.1.4. Systems; 5.1.5. Compliance; 5.1.6. Scenario generation; 5.1.7. Reporting; 5.1.8. Treatment of financial derivatives
- 5.1.9. Internal control review5.1.10. Reporting to the supervisory authorities; 5.2. Description of the risk management process (RMP); 5.2.1. CESR; 5.3. UCITS risk management process; 5.3.1. Overview of the UCITS; 5.3.2. Global exposure and leverage; 5.3.3. Counterparty risk exposure; 5.3.4. Reporting requirements; 5.4. Disclosure requirements; 5.4.1. Prospectus; 5.5. CSSF 07/308; 5.5.1. Implementation of a risk management process; 5.5.2. Determination and monitoring of global exposure