Szylar

The purpose of this book is to show how asset managers, fund administrators, management companies and risk departments can satisfy the financial regulators in Europe that they have adequate risk monitoring procedures in place for the funds they manage or administer. The book will explain all the requirements for risk management under the new UCITS III regime as well as the universe of financial instruments which can be used by portfolio managers and their associated risks. As such, it will be essential reading for those endeavoring to understand and comply with UCITS III requirements.

Part 1: What you have to know about UCITS to UCITS III. 1. UCITS I to UCITS III. 2. Risk management history: from banks to the asset management industry. 3. Definition of the Value-at-Risk (VaR). Part 2: UCITS risk management. 4. UCITS III risk management process and taxonomy of risks. 5. Risk management organization. 6. Financial derivative instruments and UCITS. 7. Global exposure and leverage. 8. Stress testing. 9. Backtesting. 10. Counterparty and issuer risk, concentration limits and appropriate cover. 11. Liquidity risk. 12. Other risk indicators that can be used in the risk management process.