Global asset manager reduces VaR exceedances over multi-asset, multi-currency funds in compliance with UCITS.

As head of account management for BISAM’s Cognity risk customers, I am pleased to share this Cognity customer success story, which looks at how the Head of Risk at one of our asset management customers leveraged Cognity to regain compliance with UCITS requirements around VaR exceedances. Prior to consulting the BISAM Cognity team, the customer was using a risk model and risk platform that was not able to provide accurate risk estimates within two multi-asset, multi-currency funds. As a result, the customer saw more than 20 Value at Risk (VaR) exceedances in one year. Looking for more accurate measures, the customer turned to our Quant team and the Cognity platform, which proved to provide a clearer lens into the firm’s portfolio risk, utilizing our open and transparent “real world” risk modeling approach that understands the structure of financial asset distributions and adapts to all markets regimes. Following is a summary of the customer’s challenges and the Cognity solution that helped them to regain confidence in their approach, and instill trust with their board and regulators.

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The Case Study is available in PDF

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Topics: Risk Management

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