The Committee of European Securities Regulators (CESR) has added yet another paper detailing new data requirements for UCITS as part of its ongoing mandate to provide more clarity around the requirements of the directive, this time focused on counterparty risk measurement. The “guidelines on risk measurement and the calculation of global exposure and counterparty risk for UCITS” (to give it its full name) incorporates principles that define how this data should be dealt with, including a set of quantitative and qualitative requirements around the calculation of relative and absolute value at risk (VaR).

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