Back Testing Back testing is a formal statistical framework that enables verification of the actual losses versus the projected losses by the VaR model. Dirty Back Testing consists of comparing the VaR estimates with the actual P&L values at the end of the time...
AIFMD AIFMD or The Alternative Investment Fund Managers Directive is a regulation implemented by the European Commission as part of a package of measures to regulate financial services after the global financial crisis in 2008. It focuses on unregulated funds such as...
Absolute VaR Absolute VaR is defined as the VaR of the UCITS capped as a percentage of NAV (Net Asset Value). Other UCITS related termsAbsolute VaRAIFMDAnnex IV ReportingBack TestingCalmar ratioCommitment ApproachContribution to Potential Upside (or Component...
Counterparty Risk Counterparty risk is the risk to each party of a contract (e.g. bond, credit derivative) or any trade or transaction that the counterparty will not fulfill its contractual obligations. Other UCITS related terms Absolute VaRAIFMDAnnex IV...
Systematic Risk Systematic risk is the risk that is inherent to a given market, including factors such as inflation, stability of currency, regulation etc. Unlike unsystematic risk, systematic risk cannot be diversified away. Other UCITS related terms...
