| |
Newsroom /
Finance
/
Finance
/
European asset managers to prioritise liquidity risk
European asset managers to prioritise liquidity risk
London, 22 June 2010 – Liquidity risk is a key challenge faced by European asset managers.
London,
Islington,
United Kingdom
(prbd.net)
22/06/2010
"We have created a methodology to measure market liquidity risk when trading volume and market price information is not available"
According to a survey of over 120 leading asset managers who gathered in London, Madrid and Milan during May to attend a series of conferences that discussed the future of risk measurement, VaR and Ucits in the asset management industry.
Stricter regulations in Europe will continue to increase the need for improved risk management systems, asset pricing, and credit and liquidity risks. But the main challenge highlighted at the events lies in establishing reliable liquidity risk measurements. Market liquidity risk (or the risk of losing a certain amount of money when one liquidates the positions held in a portfolio or fund) is very difficult to gauge.
A survey conducted at the three conferences revealed that two thirds of attendees believe that liquidity risk is the industry’s weakest area at the moment when looking at the Ucits IV VaR approach. Almost a quarter of the attendees don’t measure liquidity risk at all at the moment, while over half use the number of days to liquidate a position as the liquidity measure and one in five use a quantitative approach to model liquidity risk.
Almost half of the attendees think that the biggest weakness in using the Ucits III VaR approach is computing a reliable VaR, while a third thinks it is stress tests. Only a small proportion (4%) of the panel sees no weakness at all in the Ucits III VaR approach.
“It is paramount for asset managers to build appropriate, reliable and scalable risk management processes, and also to understand them. In this way, they can focus on their job – managing and growing portfolios, whilst meeting the increasing demands of financial regulatory bodies,” said Dario Cintioli, Global Head of Risk of StatPro, the portfolio analysis vendor that organised the conferences with the support of KPMG.
"We have created a methodology to measure market liquidity risk when trading volume and market price information is not available. The method replicates the mechanism by which a market maker builds the price of a financial product for hedging purposes. The model is based on alternative scenarios - normal, stressed and highly stressed - providing answers to different market conditions," concludes Cintioli.
For further information please contact:
Jeanine Leuckel, StatPro
Tel: 020 8410 8655
Email: jeanine.leuckel@statpro.com
Fabienne Pasquion, Ascension Consulting
Tel: 020 7100 6111 / 07984 119846
Email: fabienne@ascensionconsulting.co.uk
Notes to Editors
Detailed conference reports with all survey results are available upon request. Dario Cintioli is available for interview upon request.
About StatPro
StatPro is a leading provider of portfolio analysis and asset valuation services for the global asset management industry. The company sells a SaaS-based analytics and data platform on a rental basis to investment management companies allowing them to analyse portfolio performance, attribution, risk GIPS® compliance. StatPro also provides market data and valuation feeds including a Complex Asset Pricing service.
About
4Ps Marketing is a London-based Search Engine Marketing (SEM) agency, offering ethical and sustainable SEO management, PPC management and consultancy services. 4Ps Marketing is a Google AdWords Qualified Company which has experience of a wide range of industries, from the Financial Sector to Construction. Each campaign is tailored to the specific requirements of the client and designed to offer long-term results.
|