Regulatory AlertsDOC-2011-15 Calculation Methods for the Global Risk of Approved UCITS and AIFs
The French Autorité des Marchés Financiers (AMF) issues this instruction to define the calculation methods for the global risk of approved Undertakings for Collective Investment in Transferable Securities (UCITS) and Alternative Investment Funds (AIFs). The document details the scope, definitions, and specific methodologies for calculating engagement and Value at Risk (VaR), including conversion formulas, netting and hedging rules, and provisions for interest rate and structured fund contracts. It references Articles 411-72 to 411-81 of the General Regulation and aligns with ESMA guidelines on risk measurement for structured products.
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