law of 20 December 2002 - Alfi

2. Qualitative criteriaIn order to be able to determine its global exposure though the use of a VaR model, theUCITS must be able to show compliance with the following criteria:2.1. Risk managementRisk Management is responsible for ensuring that the model is continuously adapted to theportfolio’s type and structure and shall, before its first use, undergo initial validation. Furtherdetails about the organisational requirements in this regard may be found above in point II ofthis circular.2.2. VaR model documentation and proceduresThe model must be the subject of appropriate documentation (model methodology, mathematicalhypotheses and bases, data used, backtesting, ...) and procedural supervision.246