Requirements of UCITS
- Reports on risk should be manually reviewed and validated – a paper trail is essential to remain compliant
- Daily risk reports should be exported and held for future auditing and review
- Each UCITS fund using the VaR approach should conduct a rigorous, comprehensive and risk-adequate stress testing program
- A UCITS fund should monitor the accuracy and performance of its VaR model by conducting a back testing program
The Risk Limits Monitoring module within StatPro Revolution can help you comply by:
- Establishing, implementing and maintaining a documented system of internal limits concerning the measures used to manage and control the relevant risks
- Conducting a rigorous, comprehensive and risk-adequate stress testing program
- Monitoring the accuracy and performance of its VaR model, by conducting a back testing program
- Commenting on and exporting daily risk reports, breaches and warnings
- Computing the leverage
- Monitoring the liquidity risk of the assets included in the portfolio
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