VaR model validationMeeting new risk measurements and valuation requirements |
The new UCITS IV requirements place a greater emphasis on Value at Risk (VaR) model testing and an integrated approach to the risk management process.
UCITS IV specifically requires that a VaR model used to calculate global exposure must be validated by an independent party following initial development. This validation process must also be carried out following any significant change to the model or the need to improve the model following back testing results.
ESMA’ s draft technical advice on the AIFMD also provides that if a model is used to value the assets, the manager should “ensure that the model is validated by a person with sufficient expertise who has not been involved in the building process”.
As regulatory authorities focus on an integrated risk management process and valuations model testing, fund managers are facing the challenge of complying with these requirements. Deloitte has a dedicated Valuation & Modelling team with extensive experience on complex valuations and model assurance.
Read our VaR model validation flyer for more information on how we can help.
Contact us
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Christian MacManus Partner, Investment Management Advisory T: +353 1 417 8567 |
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John McCarroll Partner, Financial Services Advisory T: +353 1 417 2533 |
