The investment monitoring team consists of mathematicians, economists and engineers who are also promoted by the CFA and CIPM program. Thus we are able to respond optimally to the current turbulent markets coupled with the large number of new regulations and laws.
In our risk management we systematically comply with the requirements which our investors and the regulatory authorities place on us. Thanks to our choice of the qualified method in accordance with the Derivative Act, we provide our customers with a comprehensive product range and precise risk monitoring.
The daily Value-at-Risk (VaR) based on the individual balances of the funds is calculated using the historical simulation method including the prices of the previous year (ca. 260 trading days) with a confidence level of 99% and 1 and 10-day holding periods. Extensive stress tests are also carried out on a daily basis.
We make the VaR figures and the results of the stress tests available daily on the basis of the previous day's balance via eReporting.
On request a range of custom reports are possible, such as:
- Simulation of the performance of a fund at year end taking predefined market expectations into account
- Calculation of pull-to-par effects
- Support with maturity expiry schedules
- Historical and individual stress tests
- Simulation of historical fund prices in the event of a change in fund composition
The performance measurement (based on the BVI method and if requested ROI) and the attribution analysis are carried out using an IT solution developed specifically for us.
The attribution analysis shows the yield contributions due to possible deviations from the benchmark segments (allocation effect), due to specific share selection in the segment (selection effect) and due to a consistent strategy (interaction effect).
The attribution analysis can be performed for main and subfunds at total fund and security level and for institutional savings bank direct investments.
We has adopted a particularly innovative approach to the investment limit check. A flexible, expandable and scalable investment limit software application enables even highly complex limits to be checked automatically. All limits can be checked not only statically, but also by benchmark indices or other dynamic data sources on a daily basis. A uniform check of e.g. issuer and national limits across entire mandates comprising numerous main funds can be performed easily, and client-specific reports to depict such limits visually are straightforward to produce. As well as the individual service, compliance with all statutory and regulatory requirements is monitored.