Sign up for free newsletter

 

The Committee of European Securities Regulators (Cesr) has released a series of guidelines on how to calculate risk under Ucits IV, reports Hedgefund Review. The key element of the report is a unified definition of global exposure. Cesr notes that whilst the responsibility lies firmly with the Ucits fund manager on deciding which methodology to use (commitment approach or VaR), it recommends that those using financial derivatives as part of a complex investment strategy – namely option, arbitrage and complex long/short or market neutral strategies – should avoid using the commitment approach. The report states that using relative VaR to determine global exposure should be calculated by establishing the VaR of a current portfolio against that of a reference portfolio, ensuring that the final VaR is no more than a factor of two. For absolute VaR, Cesr stipulates that it cannot be more than 20 per cent of the fund’s NAV, must be calculated daily and have a have a holding period equivalent to one month.


Subscribe to free daily newsletter
MediaWatch WA awards 2015

See interviews and presentation at the Wealth Adviser 2015 awards ceremony, held at Sketch, Mayfair on the 15th May .... »

latestjobs
Web Developer

Mon, 01 Jun 2015 00:00:00 GMT

FX Trading - Options/Forwards/Spot

Mon, 01 Jun 2015 00:00:00 GMT

Junior European Equity Sales- NYC Investment Bank

Mon, 01 Jun 2015 00:00:00 GMT

events
12 hours from now - Chicago
12 hours from now - Boston
5 days 12 hours from now - New York
specialreports