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E-book
Author Müller, Charles

Title Practical guide to UCITS funds and their risk management / Charles Muller, Alain Ruttiens
Published Liège, Belgium : EdiPro, [2013]
©2013

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Description 1 online resource (146 pages) : illustrations
Contents Introduction; FIRST Part -- The UCITS directives; Chapter I. UCITS -- a short history; Chapter II. Key Statistics; II. 1 Global and European key figures; II. 2 Luxembourg key figures; Chapter III. The legal set-up; III. 1 Law-making process (EU Directives and national implementation; III. 2 Legal types of funds; III. 3 Permitted activities; III. 3.1 Eligible assets; III. 3.2 Investment restrictions and limits; III. 3.3 Efficient Portfolio Management (EPM) Techniques; III. 4 Structuring; III. 5 Key parties involved in the operations of UCITS funds; III. 5.1 Promoter
III.5.2 UCITS Management CompanyIII.5.3 Investment Manager; III.5.4 Distributor; III.5.5 Depositary; III.5.6 Fund Administrator and Transfer Agent (Central Administrator); III.5.7 The 'Réviseur d'Entreprises' (Independent Auditor); III.5.8 Types of Funds; Chapter IV. Investor information and protection; IV.1 The KIID; IV.2 Annual report and semi-annual report; Supervision and other "airbags"; Chapter V. Confidentiality and anti-money laundering; Chapter VI. Taxation; VI.1 Financial Transaction Tax (FTT); VI.2 FATCA; Chapter VII. Non-UCITS funds and level playing field; VII.1 AIFMD
VII. 2 Venture Capital Funds and Social Entrepreneurship FundsGlossary; Literature; SECOND Part -- UCITS risk measurement guidelines; Chapter I. General; I.1 Market risk; I.2 Credit risk; I.3 Liquidity risk; I.4 Operational risk; Chapter II. Comments on the CESR guidelines; Guidelines; 1. Definition and scope of Global Exposure; 2. Calculation of Global Exposure using the Commitment Approach; 2.1 Conversion Methodologies; 2.1.1 Standard Derivatives -- Embedded Derivatives and Non-Standard Derivatives
2.1.2 Types of financial derivative instruments which may be excluded from the global exposure calculation2.1.3 Netting and Hedging; 2.1.4 Efficient Portfolio Management Techniques; 3. Calculation of Global Exposure using the Value at Risk (VaR) Approach; 3.1 General Principles and general requirement; 3.2 VaR Approaches -- Relative VaR and Absolute VaR -- The Choice; 3.3 Relative VaR approach; 3.4 Absolute VaR approach; 3.5 Minimum requirements for VaR approach; 3.6 VaR approach: Quantitative requirements; 3.6.1 Calculation Standards; 3.6.2 Risk Coverage
3.6.3 Completeness and accuracy of the risk assessment3.6.4 Back Testing; 3.6.5 Stress testing; 3.7 VaR approach: Qualitative requirements; 3.8 VaR: Additional safeguards and disclosure; 3.8.1 Additional safeguards; 3.8.2 Disclosure; 4. OTC Counterparty Risk Exposure; 4.1 Collateral; 4.2 Counterparty/issuer Concentration; 5. Cover rules for transactions in Financial Derivative Instruments; 6. Glossary of Terms; Bibliography
Bibliography Includes bibliographical references and index
Notes Online resource; title from PDF title page (ebrary, viewed December 13, 2013)
Subject Swaps (Finance)
Securities.
Risk management.
Risk Management
risk management.
Risk management
Securities
Swaps (Finance)
Form Electronic book
Author Ruttiens, Alain (Alain H.)
ISBN 2874961728
9782874961724