Award Winning Risk Limits and Commitment Leverage Monitoring

Reducing the cost and complexity of compliance

BST Award logo 2014

StatPro Revolution’s award winning Risk Limits and Commitment Leverage Monitoring module enables users to oversee the risk and exposure of selected portfolios. Regulation is putting pressure on asset managers. One of the most important events in the regulatory landscape has been the implementation of AIFM Directive in 2014. StatPro has responded to this challenge with a new risk module which calculates the commitment exposure of a portfolio, satisfying the complex rules designed for derivative instruments.

For those with UCITS and AIFMD funds this powerful module will aid AIFMD risk monitoring and compliance with these regulations.

The risk limits and commitment leverage monitoring module is priced on a per portfolio subscription,
this module provides:

  • Dashboard centralized view of all your regulated funds
    • As per type (UCITS/AIF) and approach (Commitment, Absolute or Relative VaR)
    • Monitoring of computed results via a traffic light approach
  • Calculation of UCITS-AIFMD commitment numbers – delta, time to maturity, interest rate duration and equivalent underlying asset positon
  • Risk data service automatic coverage for plain vanilla assets, via client insertion of terms and conditions for OTCs
  • Stress testing and sensitivity analysis with access to over 1,300 pre-defined stress scenarios and sensitivities pooled by StatPro and key clients
  • Award winning liquidity risk and liquidity stress calculations and analysis
  • Clean back-testing monitoring with evidence of breaches (expected, allowed, observed) in both graphical and tabular view
  • Audit Trail with user defined validation and comments functions
  • Reporting Module
    • Predefined compliant report for UCITS – VaR and Commitment approach
    • Predefined compliant report for AIF – Gross and Commitment leverage
    • Export file for the filling of the AIFM Annex IV – Market Risk Profile
    • Storage reports function
  • User defined and sharing views based on allocation of roles and profiles

Sharing functionality within StatPro Revolution helps comply with these regulations by:

  • Ensuring consistent and easily available risk information across various global offices and various teams
  • Easily raising queries with investment teams through interactive dashboards and on demand results
  • Providing greater transparency to the regulator
  • Giving greater control to those in an oversight/monitoring role.
  • Assigning different levels of access through creating defined roles
  • Marketing funds more effectively across territories with a universal reporting and distribution tool
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  • Multi portfolio risk dashboard within the Risk Limits Monitoring Module in StatPro Revolution
  • Backtesting with the Risk Limits Monitoring Module in StatPro Revolution
  • The Risk Limits Monitoring Module compliance overview in StatPro Revolution
  • Detailed Risk Limits Monitoring Module risk dashboard in StatPro Revolution
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This video is a quick demonstration of StatPro Revolution’s Risk Limits Monitoring and Commitment Leverage Monitoring module, which enables users to oversee the risk and exposure of selected portfolios. This is especially useful for the alternative investments market such as hedge funds, as they are subject to increasing regulatory compliance like AIFMD risk monitoring.