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Version status: Revoked | Document consolidation status: Updated to reflect all known changes
Version date: 27 May 2019 - onwards
  Version 3 of 3    

Regulation 22 Value at Risk approach: additional safeguards

Revoked from 27 May 2019

(1) A responsible person which calculates global exposure using a VaR approach for a UCITS shall monitor the leverage of the UCITS regularly.

(2) A responsible person shall ensure that the UCITS supplements both the VaR approach and the stress-testing framework, by taking into account the risk profile and the investment strategy that is being pursued, with other risk measurement methods.

Comparing proposed amendment...