Professional Risk Management - on behalf of investors and fund companies

Risk is a fundamental component of asset management. Risk management is therefore a constant topic for asset managers, legislators and the supervisory authorities.

But one thing is always true: simply measuring the returns is not a sufficient criterion to assess the quality of an investment fund. Institutional investors and private investors demand detailed and systematically prepared information regarding the risk and return structure of their fund investments.

By using highly professional instruments, IPConcept (Luxemburg) S.A. offers you the data resources that allow sufficient analysis, holistic control and monitoring of the risk structure of the fund assets. In the interest of the investor and in the interest of your own corporate strategy.

Core elements of the scope of services

Market price risk

  • Daily value at risk - calculation
  • Analytical approach (variance-covariance process) or numerical approach (Monte Carlo simulation)
  • Validation of the forecast quality (clean backtesting)
  • Stress tests (historical and hypothetical)
  • Simulation of changes to the portfolio (intraday - value at risk)
  • Decomposition of the value at risk according to individual risk factors
  • Multi-stage escalation process if limits are to be exceeded imminently
  • Daily market price risk report on whole portfolios and individual items

Liquidity risk

  • Classification of the individual assets in meaningful liquidity stages
  • Calculation of the liquidity at risk (LaR) and conditional liquidity at risk (cLaR) as an estimate of the distribution of the redemption of shares
  • Daily liquidity risk report on whole portfolios and individual items
  • Liquidity risk stress tests

Credit risks

  • Quantification of the default and migration risks using a simulation-based credit portfolio model
  • Calculation of the expected and unexpected loss

Identification and evaluation of operational risks

Adequate presentation of the risks of alternative investment funds (e.g. using a scoring process)

Regulatory reporting (MaRisk [Mindestanforderungen an das Risikomanagement (German Minimum Requirements for Risk Management]), Solvency II, UCITS, etc.)

Performance analysis and contribution

  • Calculation of profit & loss (P&L), money-weighted and time-weighted rate of return (MWR and TWR) and an additive performance contribution to legal accounting data
  • Breakdown of the total return into individual additive return contributions (market price effect, FX effect, interest rate effects, etc.) and different currencies              
  • Free choice of sub-portfolios to present various investment aims, hedging strategies, product category or ratings
  • Comparison of both the performance of the whole fund and the sub-portfolio with individual benchmark returns

Unlimited availability and maximum flexibility by means of a web client application