UCITS IV Reporting
Main Features
Methodologies and functionality
- Global exposure is measured using the Commitment and the Value-at-Risk (VaR) approaches
- Concentration risk for all positions carrying issuer risk can be assessed both through the commitment approach and the maximum loss approach
- Counterparty risk is effectively addressed for all positions
- Changes in market liquidity conditions (Assets Liquidity Risk) are managed through the calculation of liquid and non-liquid exposures
- The terms of redemption rights by the investors (Funding Liquidity Risk) assessed via the Liquidity Coverage Ratio (LCR)
- Very flexible and powerful stress testing module allowing users to develop appropriate stress methodologies and scenarios
- The generation of the risk monitoring reports is based on a highly sophisticated and user friendly web-based business intelligence platform, providing features like automatic reporting delivery, detailed drill down to the lowest level of analysis, and ad-hoc creation of new reports
Interfaces and Reconciliation
- Direct link with data vendors for time series uploading and instruments definition
- Interface with other portfolio management and accounting systems for electronic deal and other transactions import
- Reconciliation with administrator or custodian for daily reconciliation of portfolio valuations, cash balances and NAV
Reporting package includes:
- Total Risk report
- Global exposure summary and detailed (VaR approach)
- Global exposure summary and detailed (commitment approach)
- Marginal Risk Decomposition
- Stress Testing Analysis
- Back Testing
- Derivatives exposure and PnL
- Derivatives variation margin