VaR Rules in Europe and the US: Compliance and Beyond

Recorded On: 03/15/2023

VaR rules in Europe and the US: Compliance and Beyond

Lessons learned on Value at Risk

Risk management professionals in the U.S. asset management sector have recently had to familiarize themselves with new VaR (value at risk) reporting requirements. As of 19 August 2022, 40 Act fund must comply with the 18f-4 rule adopted by the SEC some two years before. By contrast, across the Atlantic, European asset managers have long had to factor VaR and VaR reporting into their operations. U.S. risk managers share their experiences with the recent change, and compare notes with insights from Europe based on decades of VaR assessment and reporting practice.

Learning objectives:

  • Understanding value at risk (VaR) and its relevance for mutual funds
  • Getting to know the SEC 18f-4 rule and its impact on asset management operations and reporting requirements
  • Gaining insights into how European asset managers have been including VaR rules into their business practice for decades
  • Understanding why mastering VaR goes beyond compliance with the rules

This program is sponsored by:

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CPE INFORMATION:

Nicsa is pleased to offer this webinar learning activity to attendees who are seeking CPE credits. 1 CPE unit may be available for attendees of this webinar. The webinar requires no advanced preparation, no pre-requisite study and is appropriate for all who have a basic understanding of the investment management industry.

Nicsa is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its website: www.learningmarket.org.

CPEs Earned: 1 

CPE Field of Study: Regulatory Ethics

Program Level: Basic 

Delivery Method: Group-Internet Based

Advanced Preparation: None 

CANCELLATIONS AND REFUNDS: Due to this program being offered free of charge, there will be no refunds issued. Questions or Cancellations: Please contact Jed Larsen at info@nicsa.org


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Rowena Rothman (Moderator)

Senior Vice President

Brown Brothers Harriman, Investment Management/Funds Management

Rowena Rothman is a Senior Vice President within the Funds Management group of BBH Investment Management (“IM”) responsible for the BBH Luxembourg Funds (“UCITS”) in a relationship management capacity acting as the primary interface with its various key stakeholders and service partners including the UCITS’ Board, Management Company, central administrator, 3rd-party marketers, etc. In this capacity, Rowena leads / coordinates the implementation of mission-critical initiatives and projects (e.g., exploration of new investment vehicles, marketing channels, jurisdictions, new service provider onboarding, sub fund launches, etc.). and strives to ensure the timely, effective and cost-efficient delivery of IM solutions to clients. Rowena has recently assumed (in 2022) oversight responsibility for BBH IM’s pricing team which involves oversight of 3rd-party pricing vendors for fixed income and equity asset classes and fair value responsibilities.

Rowena is an active member of IM’s ESG Oversight Committee which monitors IM’s ESG integration activities, regulatory developments, industry best practices and data research tools with the objective of continually enhancing IM’s overall ESG program. The committee also facilitates ESG knowledge-building through team training sessions and ensures that IM’s ESG initiatives are appropriately reflected in its engagement with other industry participants, marketing collateral and client reporting frameworks. 

Rowena is also a member of IM’s Valuation Oversight Committee, a Co-Chair of BBH’s Women’s Network (NY Chapter) and a member of IM’s Diversity and Inclusion Committee. 

Prior to joining BBH IM in June 2016, Rowena served as the Assistant Treasurer of the US “40Act” funds, Controller for the private real estate funds and Conducting Officer for the then self-managed UCITS. 

Rowena joined BBH in September 2009. Prior to that she was a finance consultant for The Siegfried Group, a Corporate Banker for Citigroup and had a long career in internal audit. 

Rowena graduated from the University of Santo Tomas in Manila, Philippines (Bachelor of Science in Commerce) and held a CPA license in the Philippines (no longer active).

Gildas Blanchard, PhD

Head of Industry Affairs

ALFI

Gildas Blanchard is Head of Industry Affairs of ALFI, the Association of the Luxembourg Fund Industry, specialized in risk management and digitalisation. He joined the association in December 2021. Before joining ALFI, Gildas was Senior Manager at Deloitte Luxembourg within the Capital Market department of the advisory practice, responsible for risk management advisory and quantitative solutions for the investment fund industry. Prior and aside to these mandates, Gildas is from an academic background in empirical quantitative research. Gildas teaches at several higher education institutions financial economics related modules and holds a Master degree in finance from the University of Durham (UK) and obtained a Ph.D degree from the University of Maastricht (NL) for his applied research on risk management and option markets which has been published in international academic journals.

Michael Derwael

Global Independent Risk Officer

MFS Investment Management

Michael Derwael is Senior Director and Independent Risk Officer for MFS Investment Management with multi-jurisdictional coverage and Conducting Person in charge of Risk Management and Valuation for the Luxembourg-based management company. He has been with MFS since 2019. He has 20+ years’ experience in the financial industry and, prior to joining MFS, helped build up risk practices at Lombard Odier Investment Managers, Luxcellence, Amundi and Quintet. Michael is an ALRiM board member and co-chair of the ALFI Liquidity Risks working group. He is an adjunct professor at the University of Luxembourg, trainer at House of Training and holds the FRM and CEFA certifications.

Nicolas Yurtkap

Director Investment Risk | Conducting Officer

AllianceBernstein

Mr. Yurtkap is the Conducting Officer responsible for Risk Management at AllianceBernstein (Luxembourg) S.à r.l. since February 2022. Prior to his tenure at AllianceBernstein, Mr. Yurtkap was the Head-of-Risk at Franklin Templeton Luxembourg and a risk officer at Andbank asset management Luxembourg. Mr. Yurtkap holds a BA in Economics from the University of Rennes and a Msc in Finance from the University of Strasbourg.

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Recorded 03/15/2023  |  60 minutes
Recorded 03/15/2023  |  60 minutes
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