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ADVISORY Risk Measurement Services for Investment Funds Risk Measurement Services for Investment Funds | 1 What KPMG can offer Your Benefits ✓Luxembourg based risk management service provider ✓Highly skilled, qualified and experienced experts from research KPMG Luxembourg S.à.r.l. is specialized in the provision of Audit, Tax, and Advisory services. Within these units KPMG’s Financial Risk Management department acts as a risk management service provider for Investment Managers and funds. This brochure provides you with an overview of the main risk measurement services KPMG can offer to you as well as the key benefits to your business. and industry ✓Risk management service Liquidity Risk SRRI operated like an integrated group within your daily risk management processes under your control ✓Fully transparent ✓Solutions can be tailored to your OTC Derivative Valuation particular business needs ✓Risk reports & results available when needed (even several times within a day if needed) ✓Sophisticated solutions operated in a cost-efficient manner ✓Luxembourg based risk Risk Measurement for Funds Global Exposure management researchers and hands-on developers from different topical areas such as mathematics, statistics, finance and IT Counterparty Risk Value at Risk Concentration Risk ✓Regulatory specialists ensure fully compliance and best practice application with supervisory regulation such as Luxembourg and European regulations Back-testing Leverage Stress- testing Coverage Rules Commitment Approach 2 | Risk Measurement Services for Investment Funds Regulatory Framework Your Benefits ✓Well known and leading firm for audit, tax and advisory services in the financial industry ✓ A team of hands-on regulatory experts are part of our risk management team from which As a global and leading Luxembourg based audit, tax and advisory firm, KPMG follows closely and timely upcoming technical and regulatory developments, allowing the provision of high quality services to clients. The following table provides an overview of the current regulatory environment for UCITS risk management. Regulatory framework on Risk Management you will benefit ✓Truly international network, i.e. we can assist you globally and locally ✓ Own research and excellence centers to identify new technical and regulatory developments Level 1 legislation European Union Directive 2009/65/EC Luxembourg Law of 17 December 2010 on Undertakings for Collective Investment (2010 Law replaces the 2002 Law) Level 2 implementing measures Commission Directive 2010/43/EU CSSF Regulation No10-4 CSSF Regulation No10-5 Level 3 guidelines • ESMA Guidelines 09/178 as regards risk management principles for UCITS • ESMA Guidelines 10/673 on the methodology of the calculation of the SRRI in the KID • ESMA Guidelines 10/788 on risk measurement and calculation of global exposure and counterparty risk for UCITS • ESMA Guidelines 11/112 as regards risk measurement and calculation of global exposure for certain types of structured UCITS CSSF Circular 07/308 CSSF Circular 11/498 CSSF Circular 11/512 Risk Measurement Services for Investment Funds | 3 Architectural Overview Principle of Separation of Concerns (SoC) ✓ Technical Infrastructure is implemented in Java ✓ Market Risk Model is implemented in Matlab Your Benefits ✓ Technical model is easy to understand and maintain ✓ Reduced cycle times for model customizations (e.g. if you request additional measures) ✓ Full transparency ✓ In-House development allows for tailor-made solutions KPMG’s risk engineering team with its deep technical and hands-on knowledge as well as industry experience wants to contribute to your company’s success and development by adding tailor-made high value solutions in a cost-efficient manner. Therefore, we have developed and maintain a sophisticated and fully transparent model to help meet your expectations. The separation of the technical infrastructure from the market risk model allows us to offer you a great variability of choices in the Value at Risk calculation method and thus to adapt the model to the special needs of your business. Risk Engine Model Administration & Job Control Market Risk Model (MATLAB) Other Risk Measures Liquidity Risk SRRI Commitment Approach Value at Risk • Historical Approach • Variance/Covariance Approach • Monte Carlo Approach Data Access Layer Portfolio Data Market Data Reporting • Stress Test Report Database • Risk Report • Backtesting Report ... - tailieumienphi.vn
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