The European Securities and Markets Authority (ESMA) has published a questions and answers paper on risk measurement and calculation of global exposure and counterparty risk for UCITS.

The questions and answers are set out under the following headings:

  • hedging strategies;
  • disclosure of leverage by UCITS;
  • concentration rules;
  • calculation of global exposure for fund of funds; and
  • calculation of counterparty risk for exchange-traded derivatives and centrally-cleared over-the-counter transactions.

View Questions and answers: risk measurement calculation of global exposure and counterparty risk for UCITS, 19 December 2013

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