Page 21 - MONECO Financial Training Catalogue

PRACTICAL REGULATORY RISK CALCULATIONS FOR EU FUNDS

Group Discussion: Group Discussion:
• Regulatory expectations for liquidity management plans • Managing duration in different interest rate environments
• Fair treatment of redeeming vs. remaining investors • Challenges with callable bonds and embedded options
• Communication strategies during liquidity stress • Communication of interest rate risk to retail investors

Fixed Income: Duration & Convexity Comprehensive Integration Case Study
Interest Rate Risk Measurement Multi-Fund Risk & Compliance Assessment − Risk
Technical Framework: management team evaluating three UCITS funds for quarterly
• Modified Duration: first-order price sensitivity to yield board reporting
changes
• Macaulay Duration: weighted average time to cash flows Funds:
• Convexity: second-order effects (curvature) 1. Eurozone Equity Fund (€1.5B AUM)
• DV01 (Dollar Value of 01): absolute price change per 1bp 2. Global Bond Fund (€900M AUM)
• Effective duration for bonds with embedded options 3. Alternative Strategies UCITS (€400M AUM)
• Portfolio duration aggregation methodology
• UCITS bond fund duration limits Comprehensive Analysis Required:
• Calculate SRRI and PRIIPs SRI for each fund
Case Study: Fixed Income Risk Management − European • Generate PRIIPs performance scenarios (1Y and 5Y)
corporate bond fund, €800M AUM, duration target 5 years. • Assess VaR compliance (relative and absolute)
Portfolio Details: • Measure leverage (both methods)
• 150 bond positions • Evaluate liquidity profiles
• Mix of government and investment-grade corporate bonds • Calculate risk-adjusted performance metrics
• Some bonds with call options • Identify any compliance breaches or concerns
• Ladder maturity structure (1−10 years) • Prepare executive summary for board
• Current environment: rising rates, widening credit spreads
Closing Session
Analysis Tasks: Implementation Best Practices & Regulatory Updates,
• Calculate modified duration and convexity for sample Round Table Q&A
bonds • Building robust calculation infrastructure
• Aggregate to portfolio-level duration (5.2 years) • Data quality and validation procedures
• Assess compliance with stated duration target • Model governance and documentation standards
• Model P&L impact of parallel yield curve shifts: • Regulatory change management processes
− +50bp, +100bp, +200bp • Common implementation pitfalls
−-50bp, −100bp • Upcoming regulatory developments
• Incorporate convexity effects for large moves • Sharing of practical experiences among participants
• Calculate DV01 for portfolio
• Scenario analysis: curve steepening/flattening
• Credit spread sensitivity analysis

Lecturer: Andreas Steiner
Andreas Steiner is an independent consultant specializing in portfolio analytics
and risk management. The services provided include training, advanced portfolio
analytics software and mandate-based projects for banks, investment managers,
institutional investors and software companies. Andreas has been teaching as a
lecturer at the Zurich University of Applied Sciences in Switzerland, where he gave
courses covering performance analysis, international investing and Behavioral
Finance. Andreas has published several articles in investment-related journals
and is making available his research online in the form of research notes and blog
entries.
Andreas has more than 15 years of working experience in institutional asset
management and private banking. He held various performance and risk-related
roles at Credit Suisse Asset Management and was head investment risk management at LGT Capital
Management. Andreas holds a master’s degree magna cum laude in Economics from the University of
Zurich with specializations in Monetary Economics and Financial Markets.

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