Quantitative risk reporting for investment funds

The UCITS, SIF and AIFMD regulatory frameworks include specific requirements related to risk measurement and reporting, such as gross and commitment leverage, VaR, back testing, stress testing, which need in some cases to be disclosed to investors or regulators.

The specific characteristics of some asset classes such as private equity, real estate, infrastructure, distressed or high yield securities the unavailability of internal resources or the frequency at which such risk monitoring is required are challenges which are sometimes difficult to address in a timely manner by management companies, which can delay time to market and/or regulatory compliance.

Furthermore, the recent increase in disclosure and reporting obligations and the multiplicity of regulations to be addressed at the same time by risk managers (UCITS, SIF, AIFMD, EMIR, collateral) fosters the use of a single risk software or provider to benefit from economies of scale, providing data once for multiple reporting purposes. This is especially true for AIFMD regulatory reporting where the majority of information to be disclosed is risk related (e.g. VaR, liquidity profile, stress tests).

Leveraging on a large quantitative risk team and on a proven expertise in risk modelling and reporting for UCITS and non-UCITS funds, Deloitte can assist you meeting these risk reporting requirements by outsourcing the production of risk reports, reducing your time to market and enabling your risk managers to focus on their core activities.

Our risk reporting platform is recognised by more than 20 global fund promoters/administrators representing more than 4,500 reports annually, out of which more than 600 quantitative risk reports including some or all of the metrics below.

Risk compliance and dashboard

• Risk limits, gross and commitment leverage calculated in compliance with UCITS and AIFMD rules, main exposures
• Risk dashboard for directors and conducting officers

Credit risk reporting

• Default losses distribution (gaussian and non-gaussian copulas), credit Value-at-Risk, rating distribution, jump-to-default risk

Market risk reporting

• Market Value-at-Risk (Garch, Garch-like, Monte Carlo, historical or Gaussian)
• Currency risk, interest rates and credit spreads sensitivities (DV01, CS01), key rates exposures
• Regulatory gross leverage & commitment

Liquidity risk reporting

• Estimated assets liquidation time and cost
• Modelling of investors redemptions and other liabilities liquidity
• Cash-flow projections and estimations over the next 6 months, accounting for liquidity arrangements (e.g. gates, lock-ups).

Counterparty risk reporting

• Counterparty risk exposure, collateral portfolio

VaR back-testing

• Dirty or clean back-testing, Kupiec and Christoffersen testing, exceptions analysis

Stress testing

• Parametric, historical and user-specific scenarios (e.g. credit crunch, volatility spike, default rates spike)

Full documentation of models and metholdogies available

Our risk reporting platform is a proprietary solution fully integrated with our AIFMD reporting services and our risk transparency reporting services, enabling us to leverage from significant economies of scale when working in addition to one of these services.

Our platform is also connected to our pan-european tax reporting services, our fund registration services, our fund reporting services and our quantitative cross-valuation services as part of our global outsourced reporting services.