Valsen Fiduciaries Funds

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Fund Risk Management Advisory

We usually tend to think of risk in predominantly negative terms. However, in the investment world, risk is necessary and inseparable from performance. A common definition of investment risk is a deviation from an expected outcome. That deviation can be positive or negative, and it relates to the idea of “no pain no gain” (to achieve higher returns, in the long run, you have to accept more short-term risk, in the shape of volatility). Faced with different regulatory obligations, management companies need to meet risk measurement and reporting requirements in a streamlined process and at an acceptable cost.
Valsen Fiduciaries risk management advisory objective is to strengthen funds risk management capacity and frameworks, while supporting the development of emerging distressed asset markets. Our ability to provide meaningful and useful risk reporting in an automated fashion which is a factor increasingly considered by directors, investment managers and promoters prior to engaging a management and advisory company keeps us at a better place to grant efficient service provision.
Fund Administration

Our Services include advisory on:

  • Risk limits gross and commitment leverage calculated in compliance with UCITS and AIFMD rules main exposures
  • Risk dashboard for directors and conducting officers
  • Default losses distribution (Gaussian and Non-Gaussian copulas), credit Value-at-Risk, rating distribution, jump-to-default risk
  • Currency risk interest rates and credit spreads sensitivities key rates exposures
  • Regulatory gross leverage & commitment
  • Estimated assets liquidation time and cost to avoid liquidation
  • Modelling of investor’s redemptions and other liabilities liquidity
  • Cash-flow projections and estimations over the next 6 months, accounting for liquidity arrangements (e.g. gates, lock-ups)
  • Counterparty risk exposure, collateral portfolio
  • Parametric historical and user-specific scenarios (e.g. credit crunch, volatility spike, default rates spike)