Risk measurement of global exposure and counterparty risk for UCITS

by Committee of European Securities Regulators, 2010

This paper sets out CESR’s guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS. These guidelines accompany the level 2 implementing measures in the context of risk measurement and the calculation of global exposure and counterparty risk for UCITS.

The key purpose of these guidelines is to provide stakeholders with detailed methodologies in order to foster a level playing field among Member States in the area of risk measurement and the calculation of global exposure and counterparty risk for UCITS.

To achieve this objective, CESR provides a harmonised definition of global exposure. CESR stresses that the calculation of the global exposure represents only one element of the UCITS’ overall risk management process and that it remains the responsibility of the UCITS to select an appropriate methodology to calculate it. Concerning the calculation of the global exposure, CESR sets out detailed methodologies to be followed by UCITS when they use the commitment or the Value at Risk (VaR) approach.