On 15 June 2009, the Committee of European Securities Regulators (CESR) published a consultation paper on risk measurement in the calculation of global exposure for UCITS. The consultation comprises of 52 questions and is an interim step giving stakeholders an early opportunity to give feedback on CESR's approach. CESR plans to consult again in July 2009 setting out its proposed advice in a number of areas, including risk management. The questions examine the methodologies and concepts used in the measurement and calculation of risks as they apply to UCITS under the following areas:

  • Calculation of global exposure using commitment approach
  • Calculation of global exposure using VaR (Value at Risk) models relating to both relative and absolute VaR limits
  • Calculation of OTC counterparty risk exposure and the treatment of collateral
  • How the above methodologies apply to the concept of Sophisticated vs. Non-sophisticated UCITS.  

CESR invites responses via the CESR website by 15 July 2009