Absolute VaR

Absolute VaR is defined as the VaR of the UCITS capped as a percentage of NAV (Net Asset Value).

Other UCITS related terms

• Absolute VaR
• AIFMD
• Annex IV Reporting
• Back Testing
• Calmar ratio
• Commitment Approach
• Contribution to Potential Upside (or Component Potential Gain)
• Counterparty Risk
• CSSF
• Do you have the right toolset to tackle UCITS IV?
• Do you know the risk and exposure of your portfolios? - UCITS Infographic
• DV01
• ESMA
• Event Risk
• Expected Shortfall (or Conditional VaR or CVar)
• Global Exposure
• KIID
• Management Company Passport
• Master Feeder structures
• MiFID
• Relative VaR (UCITS)
• SRRI (Synthetic Risk & Reward Indicator)
• StatPro releases upgrade to Revolution cloud services
• StatPro Revolution adds ‘commitment approach’ to provide comprehensive AIFMD & UCITS compliance
• Systematic Risk
• Tackling UCITS IV with StatPro Revolution
• Think Global, Act Local
• Undertakings for the Collective Investment of Transferable Securities (UCITS)
• Unsystematic Risk
• VaR approach