Acknowledgments |
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xiii | |
Foreword |
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xv | |
Introduction |
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xix | |
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PART I Framework of European Investment Funds |
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1 | (114) |
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Chapter 1 Risk and Risk Management |
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3 | (8) |
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3 | (2) |
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5 | (6) |
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Chapter 2 Description of Investment Funds |
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11 | (8) |
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2.1 Characteristics of Investment Funds |
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11 | (2) |
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13 | (3) |
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2.3 Alternative Investment Funds |
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16 | (3) |
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Chapter 3 Investment Fund Markets |
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19 | (16) |
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3.1 History of Investment Funds |
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19 | (3) |
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3.2 Global Investment Fund Market |
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22 | (3) |
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3.3 European Investment Funds in International Markets |
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25 | (6) |
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3.4 US Investment Fund Market |
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31 | (4) |
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Chapter 4 Investment Strategies |
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35 | (20) |
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35 | (2) |
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4.2 Main UCITS Fund and AIF Investment Strategies |
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37 | (3) |
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4.3 Traditional and Alternative Strategies |
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40 | (2) |
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4.4 Overview of Traditional Investment Strategies |
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42 | (3) |
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4.5 Alternative Investment Strategies |
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45 | (7) |
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4.6 Development Trends in Fund Strategies |
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52 | (3) |
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Chapter 5 Players in the European Investment Fund Industry |
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55 | (20) |
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55 | (3) |
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5.2 Investment Fund Managers |
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58 | (3) |
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61 | (2) |
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63 | (2) |
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65 | (3) |
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68 | (2) |
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70 | (2) |
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5.8 National Competent Authorities |
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72 | (3) |
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Chapter 6 Regulatory Framework of Risk Management |
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75 | (16) |
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75 | (1) |
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6.2 European System of Financial Supervision |
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76 | (2) |
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6.3 European Securities and Markets Authority |
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78 | (3) |
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6.4 European Systemic Risk Board |
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81 | (1) |
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82 | (2) |
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6.6 Role of the International Organization of Securities Commissions |
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84 | (1) |
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6.7 Risk Management in the UCITS Directives |
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84 | (4) |
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6.8 Risk Management in the AIFMD Context |
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88 | (3) |
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Chapter 7 Risk-Management Governance |
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91 | (24) |
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7.1 Roles of Senior Management and the Board of Directors |
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91 | (1) |
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7.2 Permanent Risk-Management Function |
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92 | (1) |
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7.3 Responsibilities of a PRMF |
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93 | (5) |
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7.4 Risk-Management Policy |
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98 | (1) |
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99 | (11) |
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7.6 Delegation of Risk Management |
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110 | (5) |
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PART II Risk Management for UCITS Funds |
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115 | (120) |
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Chapter 8 Market Risk Management |
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117 | (22) |
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8.1 Introduction and Definition |
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117 | (1) |
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8.2 Global Exposure and Self-Assessment |
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118 | (2) |
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120 | (4) |
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124 | (4) |
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128 | (2) |
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130 | (5) |
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135 | (2) |
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8.8 Other Market Risk Measurement Methods |
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137 | (2) |
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Chapter 9 Liquidity Risk Management |
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139 | (44) |
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9.1 Introduction and Definition |
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139 | (3) |
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142 | (16) |
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9.3 Liability Liquidity Risk |
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158 | (8) |
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9.4 Integrating Asset and Liability Liquidity Risk |
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166 | (3) |
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9.5 Liquidity Stress Testing |
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169 | (7) |
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9.6 Liquidity-Management Tools |
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176 | (7) |
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Chapter 10 Credit and Counterparty Risk Management |
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183 | (22) |
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10.1 Introduction and Definitions |
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183 | (2) |
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185 | (7) |
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192 | (8) |
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10.4 European Market Infrastructure Regulation |
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200 | (5) |
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Chapter 11 Operational Risk for UCITS Funds |
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205 | (30) |
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11.1 Operational Risk in the Financial Sector |
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205 | (2) |
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11.2 Operational Risk for Funds |
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207 | (12) |
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11.3 Convergence of Operational Risk Causes and ManCo Activities |
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219 | (5) |
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11.4 Measuring and Managing Operational Risk for Funds |
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224 | (11) |
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PART III Risk Management for European Alternative Investment Funds |
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235 | (48) |
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Chapter 12 Market Risk Management for Alternative Investment Funds |
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237 | (12) |
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12.1 Introduction and Definition |
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237 | (4) |
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12.2 Market Risk Measurement KRIs |
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241 | (3) |
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244 | (2) |
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246 | (3) |
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Chapter 13 Liquidity Risk Management for Alternative Investment Funds |
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249 | (18) |
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13.1 Liquid Versus Illiquid Assets |
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250 | (2) |
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13.2 AIF Life Cycles and Liquidity Risk |
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252 | (3) |
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13.3 Asset Liquidity Risk |
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255 | (2) |
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13.4 Liability Liquidity Risk |
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257 | (2) |
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13.5 Risk from Other Cash Flows |
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259 | (1) |
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13.6 Integrating Asset and Liability Liquidity and Other Cash Flows |
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260 | (1) |
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13.7 Characteristics of Major AIF Strategies |
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260 | (4) |
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13.8 Stress-Testing and Liquidity-Management Tools |
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264 | (3) |
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Chapter 14 Credit and Counterparty Risk Management for Alternative Investment Funds |
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267 | (6) |
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267 | (4) |
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271 | (2) |
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Chapter 15 Operational Risk Management for Alternative Investment Funds |
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273 | (10) |
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15.1 Introduction and Framework |
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273 | (2) |
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275 | (1) |
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275 | (1) |
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15.4 Main Specific Operational Risks |
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276 | (5) |
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15.5 Operational Risk in Hedge Funds |
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281 | (2) |
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PART IV Recent Trends In Risk Management For Funds |
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283 | (32) |
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Chapter 16 Sustainability Risk |
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285 | (12) |
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16.1 Environmental Context |
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285 | (1) |
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16.2 SFDR and EU Taxonomy |
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286 | (2) |
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16.3 Sustainability Risk Management |
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288 | (1) |
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16.4 Climate Risk Management |
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289 | (8) |
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297 | (6) |
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Chapter 18 New Technology and Crypto Assets |
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303 | (12) |
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18.1 Challenge of New Technologies |
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303 | (1) |
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18.2 Introduction to Crypto Assets and Framework |
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304 | (3) |
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18.3 History of Crypto Assets, Crypto Markets, and Crypto Funds |
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307 | (2) |
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18.4 Risks Linked to Crypto Assets |
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309 | (6) |
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PART V Fundamentals for Risk Managers of Investment Funds |
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315 | (86) |
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Chapter 19 Introduction to Statistics |
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317 | (24) |
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317 | (3) |
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19.2 Definition of Returns |
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320 | (2) |
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19.3 Measures of Location |
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322 | (3) |
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19.4 Measures of Dispersion |
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325 | (4) |
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19.5 Tracking Difference and Tracking Error |
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329 | (2) |
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19.6 Boxplot and Ouantiles |
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331 | (1) |
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19.7 Measures of Correlation |
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332 | (3) |
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335 | (4) |
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339 | (2) |
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Chapter 20 Probability and Probability Distributions |
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341 | (24) |
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20.1 Conditional Probability |
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343 | (1) |
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344 | (2) |
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20.3 Probability Distribution |
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346 | (1) |
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20.4 Binomial Distribution |
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347 | (3) |
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20.5 Gaussian Distribution |
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350 | (3) |
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20.6 Further Distributions |
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353 | (4) |
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20.7 Extreme-Value Theory |
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357 | (4) |
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361 | (4) |
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Chapter 21 Basics of Portfolio Management and Financial Time-Series Modeling |
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365 | (22) |
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21.1 Diversification Effect |
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366 | (3) |
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21.2 Capital Asset Pricing Model |
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369 | (4) |
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373 | (2) |
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375 | (1) |
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21.5 Modeling of Financial Time Series |
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376 | (11) |
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Chapter 22 Elements of Fund Valuation |
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387 | (14) |
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22.1 Fair Value and Fundamental Valuation Approaches |
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388 | (2) |
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390 | (1) |
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22.3 Discounted Cash Flows |
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391 | (3) |
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394 | (7) |
Appendix A Value-at-Risk |
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401 | (24) |
Appendix B Liquidity Value-at-Risk |
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425 | (4) |
Appendix C Examples of Liquidity Stress Tests |
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429 | (4) |
Notes |
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433 | (26) |
Index |
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459 | |