Risk Management under UCITS III/IV

<p>Introduction xi</p>
<p>Acknowledgements xv</p>
<p>PART I. WHAT YOU HAVE TO KNOW ABOUT UCITS TO UCITS III 1</p>
<p>Chapter 1. UCITS to UCITS III 3</p>
<p>1.1. UCITS primer and market size 3</p>
<p>1.2. UCITS a success story: from UCITS to UCITS III/IV 8</p>
<p>1.3. Conclusion focus on risk management 26</p>
<p>Chapter 2. Risk Management History: From Banks to the Asset Management Industry 33</p>
<p>2.1. Insight on risk management 33</p>
<p>2.2. A Brief History of Risk Management 39</p>
<p>2.3. From Risk Management to Value–at–Risk 49</p>
<p>2.4. From Portfolio Theory and Capital Requirements to UCITS 60</p>
<p>Chapter 3. Definition of the Value–at–Risk 63</p>
<p>3.1. VaR calculation models 65</p>
<p>3.2. Monte Carlo simulation 83</p>
<p>3.3. Conclusion 92</p>
<p>PART II. UCITS RISK MANAGEMENT 95</p>
<p>Chapter 4. UCITS III Risk Management Process and Taxonomy of Risks 97</p>
<p>4.1. Risk manager s role and responsibilities 97</p>
<p>4.2. Taxonomy of risks 98</p>
<p>Chapter 5. Risk Management Organization 103</p>
<p>5.1. Risk standards 104</p>
<p>5.2. Description of the risk management process (RMP) 113</p>
<p>5.3. UCITS risk management process 117</p>
<p>5.4. Disclosure requirements 122</p>
<p>5.5. CSSF 07/308 124</p>
<p>Chapter 6. Financial Derivative Instruments and UCITS 127</p>
<p>6.1. Swap 127</p>
<p>6.2. Contracts for difference 137</p>
<p>6.3. The forward contract 138</p>
<p>6.4. The futures contract 139</p>
<p>6.5. Options 141</p>
<p>6.6. Warrant 143</p>
<p>Chapter 7. Global Exposure and Leverage 145</p>
<p>7.1. Global exposure overview 145</p>
<p>7.2. Sophisticated and non–sophisticated UCITS: is there a distinction? 148</p>
<p>7.3. Sophisticated and non–sophisticated UCITS: how to assess market risk/global exposure 150</p>
<p>Chapter 8. Stress Testing 163</p>
<p>8.1. Definition and overview of stress testing 163</p>
<p>8.2. Main approaches 166</p>
<p>8.3. Types of scenarios 167</p>
<p>8.4. Stress test scenarios 171</p>
<p>8.5. Scenario management/stress testing with PMS 174</p>
<p>Chapter 9. Backtesting 177</p>
<p>9.1. Overview 177</p>
<p>9.2. Back–testing may also reveal important limitations of VaR 183</p>
<p>9.3. Back testing with PMS 186</p>
<p>Chapter 10. Counterparty and Issuer Risk, Concentration Limits and Appropriate Cover 191</p>
<p>10.1. Counterparty risk 191</p>
<p>10.2. Issuer risk and concentration limits 196</p>
<p>10.3. Appropriate cover in the absence of cash–settlement 196</p>
<p>Chapter 11. Liquidity Risk 199</p>
<p>11.1. Overview 199</p>
<p>11.2. Assessing liquidity constraints 201</p>
<p>11.3. Estimation of portfolio liquidity based on historical market data 201</p>
<p>11.4. LVaR 206</p>
<p>Chapter 12. Other Risk Indicators that can be used in the Risk Management Process 209</p>
<p>12.1. Market risk 209</p>
<p>12.2. Interest rate risk 213</p>
<p>12.3. The case of Greeks for the options 218</p>
<p>12.4. Conclusion 223</p>
<p>Conclusion 225</p>
<p>Appendices 233</p>
<p>Bibliography 265</p>
<p>Index 271</p>