The purpose of this book is to show how asset managers, fund administrators, management companies and risk departments can satisfy the financial regulators in Europe that they have adequate risk monitoring procedures in place for the funds they manage or administer. The book will explain all the requirements for risk management under the new UCITS III regime as well as the universe of financial instruments which can be used by portfolio managers and their associated risks. As such, it will be essential reading for those endeavoring to understand and comply with UCITS III requirements.
Part 1. What you have to know about UCITS to UCITS III
1. UCITS I to UCITS III.
2. Risk management history: from banks to the asset management industry.
3. Definition of the Value-at-Risk (VaR).
Part 2. UCITS risk management
4. UCITS III risk management process and taxonomy of risks.
5. Risk management organization.
6. Financial derivative instruments and UCITS.
7. Global exposure and leverage.
8. Stress testing.
10. Counterparty and issuer risk, concentration limits and appropriate cover.
11. Liquidity risk.
12. Other risk indicators that can be used in the risk management process.
Christian Szylar is Global Head of Risk and Performance Measurement at Marshall Wace LLP. Previously, he worked at Kinetic Partners as a Member where he headed a risk and valuation services. Prior to this, he was a conducting officer of RBS (Luxembourg) S.A., as well as Managing Director of RBS Portfolio Risk Services, where he developed a portfolio of risk management services tailored to asset managers, and was a Vice President at Mizuho Financial Group.
The author holds a PhD in Finance/Management Science and specialised in Finance and Corporate Strategy at MIT/Sloan School of Management. He has studied Banking Law and participated in a number of Harvard Economics programmes. In addition, he taught various Masters degrees at the Universities of Toulouse and Nancy. He is an international reference in risk management practices and advised a lot of financial institutions on how best to implement efficient risk management process for both UCITS and hedge funds. He recently published his latest book entitled "Risk Management under UCITS III/IV - New Challenges for the Fund Industry" with ISTE/Wiley.