Open Platform: Will ESMA Prompt a Step to VaR?
The European Securities and Markets Authority (ESMA) guidelines, outlined in CESR/10-788, present a number of challenges for the buy side: How will they meet these new demands, what approaches will they adopt, and what supporting systems will they need to establish?
To measure global exposure, ESMA requires managers to use either the standard commitment calculation or the Value-at-Risk (VaR) method. To date, non-complex funds have relied on the commitment approach, but it’s likely that the
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