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The consultation paper focuses on CESR’s advice to be rendered on the issue of risk measurement of UCITS. The paper is limited to the use of risk models such as VaR in the context of the calculation of global exposure as UCITS may use this or other models in its overall risk management process. The paper should be seen as an interim step aimed at providing stakeholders with an early opportunity to give feedback on CESR’s approach.
CESR has to deliver its advice by
A consultation paper is planned for July, setting out its proposed advice in all the areas covered under Parts I and II of the provisional mandate, including risk management. That paper will also cover issues related to impact assessment of the proposals on risk measurement.
An open hearing will take place towards the end of the consultation period.
Deadline for comments is