Funds must either be classified as Limited Derivatives Users or adopt a formal derivatives risk management program that includes:
Designating a derivatives risk manager that reports to the board at least annually on program implementation and effectiveness and other matters |
Calculating portfolio VaR and ensuring it is either below 200% of its designated reference portfolio (relative VaR test) or, if unavailable, below 20% of NAV (absolute VaR test) |
Running at least weekly stress-testing that considers all market risk factors and their interdependencies, and |
At least weekly backtesting the VaR model against actual realized PNL |
Screenshot of HVAR in ICE Portfolio Analytics (IPA) - Derivatives
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ESG regulation is shaping the investment landscape in Europe. To help our clients navigate these challenges, we share key takeaways on the new requirements and how ESG data can help you gain compliance.
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A patchwork of ESG standards across the investment landscape can often make meaningful comparisons difficult. Learn how consistent and reliable data can help you navigate these challenges.
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When it comes to ESG, not all data are created equal. Companies use their judgment in determining what information to disclose, in what format and which metrics to use. Having access to granular data is essential to making those judgments.