By Xavier Bellouard, co-founder at Quartet FS
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).
The BP oil spill in the Gulf of Mexico has been gathering its fair share of headlines over the last few months but one of the biggest challenges for financial institutions has been in identifying their exposure to the firm and tracking the relevant entity data across its various subsidiaries. Roger Fahy, director, and Ryan Markwith, assistant manager of the Global Data Solutions (GDS) team within the S&P Valuation and Risk Strategies division, explain how S&P has assisted its customers in tracking this data in order to determine their portfolio risk exposure to BP.
Following its announcement last month that it would be establishing a European-based derivatives trade reporting repository (see 
A-Team Insight Exchange is a new event series for 2010, which will combine A-Team’s expertise in financial markets IT with thought leadership from world-class technology innovators and practical experience from financial market practitioners.
The Securities and Exchange Commission’s (SEC) call for comments on a consolidated audit Trail (CAT) did not deliver a deluge of responses, but two significant letters from FTEN and TickLab argue fervently for a solution based on commercially available technology rather than the SEC’s proposal of bespoke development. They indicate that such development that could take years to build at a cost of US$4 billion and a further annual cost of US$2.1 billion.
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