Book Cover
Author Müller, Charles.

Title Practical guide to UCITS funds and their risk management / Charles Muller, Alain Ruttiens
Published Liège, Belgium : EdiPro, [2013]
Online access available from:
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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
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
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
Bibliography Includes bibliographical references and index
Notes Online resource; title from PDF title page (ebrary, viewed December 13, 2013)
Subject Risk management.
Swaps (Finance)
Form Electronic book
Author Ruttiens, Alain (Alain H.)
ISBN 2874961728