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8 Liquidity Risk issues for asset managers © IDS GmbH – Analysis and Reporting Services 8
9 Regulatory Basis UCITS-compliant Funds UCITS Directive (85/611/EWG)/ Investmentgesetz (InvG) • Shareholders may have redeemed their shares any time (i.e. every valuation day), but: redemption can be deferred. „Eligible Assets Directive“ (2007/16/EG) • Instruments are eligible only if their liquidity does not compromise the ability of the UCITS to redeem shares. BaFin-Rundschreiben 5/2010 (InvMaRisk) • Liquidity risk classified as „essential risk“ to be measured on portfolio level, for all portfolios, and for the Asset Manager as a whole • Liquidity risk management process to be installed • Stress tests on regular basis for all essential risks © IDS GmbH – Analysis and Reporting Services 9
Page 1 and 2: Dr. Stephan Schruff Liquidity Risk
Page 3 and 4: 3 About IDS © IDS GmbH - Analysis
Page 5 and 6: 5 IDS provides operational investme
Page 7: 7 Together with IDS our clients are
Page 11 and 12: 11 BVI Method for Liquidity Risk As
Page 13 and 14: 13 Measuring the market liquidity o
Page 15 and 16: 15 Market liquidity of an asset Dif
Page 17 and 18: 17 Asset Decomposition (statpro)
Page 19 and 20: 19 Data Quality Bloomberg BVAL •
Page 21 and 22: 21 Indicators for Stock Liquidity T
Page 23 and 24: 23 Indicators for Bond Liquidity Sp
Page 25 and 26: 25 Measures for Liquidity Risk on P
Page 27 and 28: 27 Example: MSDC bei Mark-to-Liquid
Page 29 and 30: 29 Cash Flows Understanding the lia
Page 31 and 32: 31 Quantitative Indicators for futu
Page 33 and 34: 33 Theses on Liquidity Risk Control
Page 35 and 36: 35 Standard and Stress Scenarios Ex
Page 37 and 38: 37 IDS Liquidity Reporting Your too
Page 39 and 40: 39 Liquidity Risk from an Asset Man
Page 41: 41 Further Questions? Dr. Stephan S

IDS GmbH - Analysis and Reporting Services

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