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Outsourcing solution for risk reporting - Enabling effective risk management | Brochure


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Outsourcing solution for risk reportingRisk reporting is an ever-evolving challenge for investment funds: benefit from Deloitte’s regulatory expertise and state-of-the-art risk modelling techniques.

As a response to the new requirements under UCITS IV, Deloitte has developed an outsourcing solution for risk reporting with the following features:

Compliance

Leveraging on our regulatory expertise, our solution provides compliance with CSSF Circular 11/512 and CSSF reglement 10-04.

State-of-the-art VaR

Our solution offers a range of VaR approaches (ARCHGARCH, Monte Carlo, etc), the flexible modelling of correlations (linear, copula, etc), stress-testing and advanced back-testing methodologies.

Liquidity risk

Our solution addresses both the asset and liability side in normal and stressed conditions. The core metrics of our proprietary liquidity risk approach are liquidation time, liquidity generating capacity, liquidity-VaR and liquidity gap.

Modularity

The Solution is modular. We can thus tailor our offer exactly to your needs:

  • ’4Cs’:
    • Commitment approach
    • Counterparty risk
    • Concentration risk
    • Coverage rules
  • Internal model (i.e. VaR)
  • Liquidity risk

Comparative advantage

Leveraging on our expert knowledge in the regulatory environment for investment funds, and on our comprehensive practical experience acquired in Europe’s leading investment fund center, Deloitte is well-positioned to provide a new generation of risk measurement systems for investment funds.

Our methodology

Our capital markets team describes the philosophy of the new risk measurement solution as follows:

“Risk managers hardly ever analyse reporting results since they spend most of their time struggling to produce the figures. Our solution fills this gap, by providing a pragmatic, scientific and transparent integrated reporting tool, which helps decision making. It offers risk managers a facility to effectively communicate with top management. We deem this interaction to be at the heart of the function of risk management.”

4Cs   Internal model   Liquidity risk
• Commitment
• Counterparty risk
• Concentration risk
• Coverage rules
  • Range of VaR models:
  - Parametric
  - Historic
  - Monte-Carlo
• Back-testing
• Stress-testing
  • Asset & liability side
• Normal and stressed
• Liquidity profile
• Liquidation time
• Liquidity VaR
• Liquidity generating capacity

How can we help?

We provide valuable insights for portfolio management from a risk management perspective:

  • Risk reporting on pre-selected modules with pre-agreed frequency
  • Compliance with UCITS IV Requirements
  • Advanced mapping and comprehensive coverage of financial instruments
  • Responsiveness of risk measurement systems, adapting rapidly to crisis conditions
  • State-of-the-art risk measurement models to provide accurate insights and added value
  • Training sessions on the separate modules

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