Page 18 - MONECO Financial Training Catalogue

PRACTICAL REGULATORY RISK CALCULATIONS FOR EU FUNDS

DATES: June 24 – 25, 2026 • PRICES: € 1,400 In-class, € 1,050 Online • LOCATION: Prague and Online
By the end of this two-day course, participants will be able to:

• Master key quantitative requirements under Course Overview
UCITS, PRIIPs and AIFMD, including SRRI/ This condensed two-day program provides intensive training on the
SRI, VaR, leverage and liquidity calculations most critical regulatory risk calculations required for EU-domiciled
funds, with a strong focus on practical implementation under the
• Correctly calculate and interpret SRRI and UCITS, PRIIPs and AIFMD frameworks
PRIIPs SRI, and understand their regulatory Participants work through real-world case studies covering
and communication implications SRRI and PRIIPs SRI methodologies, bootstrap-based PRIIPs
performance scenarios, and UCITS Value-at-Risk (VaR) calculations
• Implement PRIIPs bootstrap performance using historical, parametric and Monte Carlo approaches. The
scenarios and assess their assumptions and course emphasizes not only regulatory rules and technical
limitations formulas, but also interpretation, stability analysis, backtesting,
investor communication and supervisory expectations.
• Apply historical, parametric and Monte Carlo Building on these foundations, the program expands to advanced
VaR methods and evaluate compliance with risk metrics (CVaR, drawdown, stress testing), leverage measure-
UCITS limits ment (gross and commitment methods), and liquidity risk manage-
ment under stressed redemption scenarios, as well as fixed income
• Use advanced risk metrics such as CVaR, duration and convexity analysis
drawdown and stress testing to complement Through integrated case studies, participants learn to assess
VaR compliance limits, identify potential breaches, model market and
liquidity shocks, and prepare board-level risk summaries. The
• Calculate leverage under gross and training combines regulatory context, quantitative modeling and
commitment methods and assess regulatory governance best practices to strengthen practical risk management
thresholds and reporting capabilities.
• Evaluate liquidity risk using redemption Target Audience
stress scenarios and anti-dilution tools Fund managers, compliance officers, risk managers, quantitative
analysts, and portfolio managers in European asset management.
Materials Provided Post-Course Materials:
Pre-Course Materials (1 week before): • Certificate of completion
• Key regulations reading list (UCITS, PRIIP, AIFMD) • PDF articles
Course Materials: • 1-month email support for questions
• Comprehensive slide decks (PDF) Technical Requirements
• Complete case study materials with solutions • Laptop (case materials provided electronically)
• Excel spreadsheets • Microsoft Excel including Solver add-in
• Python code (jupyter notebooks)
• Python installation optional, but recommended

WEDNESDAY, JUNE 24 Analysis Tasks:
UCITS & PRIIPs Risk Measurement • Calculate SRRI using 5 years of weekly NAV data
00
09 −12 30 • Evaluate SRRI stability: rolling 52-week calculations over
Opening Session time
Regulatory Landscape Overview: • The behavior of volatility across boom/bust cycles
• Evolution of EU fund regulation (UCITS I-VI) • Identify periods where SRRI would have changed class
• PRIIPs Regulation background and investor protection • Assess impact of 2020 COVID-19 volatility spike on SRRI
objectives • Compare SRRI calculated with 3 years vs. 5 years of data
• Key differences between UCITS KIID and PRIIPs KID • Discuss regulatory implications of SRRI class changes
requirements
• Timeline of implementation and current status (2023−2025) Group Discussion:
• When should fund managers anticipate SRRI changes?
UCITS SRRI Methodology
Synthetic Risk and Reward Indicator (SRRI) • How do you communicate SRRI increases to investors?
Regulatory Framework: • What are the MiFID II target market implications?
• ESMA guidelines on SRRI calculation methodology • How to handle new funds?
• 5-year weekly return requirement and data sources
• Annualized volatility formula and class mapping PRIIPs Summary Risk Indicator (SRI) Methodology
(1−7 scale) Regulatory Framework:
• Edge cases: insufficient data, new funds, money market • Three PRIIP categories and their determination criteria
funds, leveraged funds • Market Risk Measure (MRM): Category 2 methodology for
• Monitoring requirements and SRRI stability over time standard UCITS
Case Study: European Equity UCITS Fund with 8-year track • Credit Risk Measure (CRM): CR1-CR6 scale and look-
record through requirements
18 Hybrid course – both classroom and online training available.