StatPro boosts Ucits liquidity monitoring
StatPro, the provider of cloud based portfolio analysis solutions, has added a module to its Revolution service that can warn users about exposure and liquidity in regards to Ucits standards.
The Global Exposure and Liquidity Monitoring module is sold on a per portfolio subscription basis through the StatPro Revolution App Store, and uses a traffic light approach, warning users of potential breaches.
The solution relies on a Value at Risk methodology, which StatPro said enables risk and compliance professionals to:
– establish, implement and maintain a documented system of internal limits concerning the measures used to manage and control the relevant risks
– conduct a rigorous, comprehensive and risk-adequate stress testing program
– monitor the accuracy and performance of its VaR model, by conducting a back testing program
– comment on and export daily risk reports, breaches and warnings
– compute the leverage
– monitor the liquidity risk of the assets included in the portfolio
A dashboard provides overview of individual portfolio VaR and liquidity risk together with stress tests and back testing.
Users can set their own parameters, for example, to illustrate warnings in amber and breaches in red. The module can record the response of users to warnings and breaches.
Justin Wheatley, StatPro Group CEO, said: “The new Ucits risk monitoring module is a breakthrough for fund managers that need to be Ucits IV compliant. Previously Ucits risk monitoring was very complicated and expensive. Now it is a plug and play solution at a great price. Our clients love it.”