CESR's Guidelines on Risk Measurement and the Calculation of Global Exposure
31 May 2010
CESR's Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS
Source: CESR
Deadline: 31 May 2010
The key purpose of these guidelines is to provide stakeholders with detailed methodologies in order to foster a level playing field among Member States in the area of risk measurement and the calculation of global exposure and counterparty risk for UCITS (Undertakings for Collective Investment in Transferable Securities). CESR stresses that the calculation of the global exposure represents only one element of the UCITS` overall risk management process. It remains the responsibility of the UCITS to select an appropriate methodology to calculate it; in that context, CESR proposes detailed methodologies to be followed by UCITS when they use the commitment or the VaR approach.
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