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24. - 25. 6. 2026

Practical Regulatory Risk Calculations for EU Funds

SRRI/SRI, PRIIPs Scenarios, UCITS VaR, Leverage & Liquidity

Přihlásit se Agenda Program Hybrid
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Místo
Praha, hotel NH Prague
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Cena
35.500 Kč + DPH
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Lektor
Andreas Steiner
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Jazyk
Angličtina
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Hodnocení
New
Hybrid Training
Hybrid
K dispozici jak prezenční, tak online školení
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Cena pro online školení
26.625 Kč + DPH
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By the end of this two-day course, participants will be able to:

Master key quantitative requirements under UCITS, PRIIPs and AIFMD, including SRRI/SRI, VaR, leverage and liquidity calculations
Correctly calculate and interpret SRRI and PRIIPs SRI, and understand their regulatory and communication implications
Implement PRIIPs bootstrap performance scenarios and assess their assumptions and limitations
Apply historical, parametric and Monte Carlo VaR methods and evaluate compliance with UCITS limits
Use advanced risk metrics such as CVaR, drawdown and stress testing to complement VaR
Calculate leverage under gross and commitment methods and assess regulatory thresholds
Evaluate liquidity risk using redemption stress scenarios and anti-dilution tools
Course Overview
This condensed two-day program provides intensive training on the most critical regulatory risk calculations required for EU-domiciled funds, with a strong focus on practical implementation under the UCITS, PRIIPs and AIFMD frameworks.

Participants work through real-world case studies covering SRRI and PRIIPs SRI methodologies, bootstrap-based PRIIPs performance scenarios, and UCITS Value-at-Risk (VaR) calculations using historical, parametric and Monte Carlo approaches. The course emphasizes not only regulatory rules and technical formulas, but also interpretation, stability analysis, backtesting, investor communication and supervisory expectations.

Building on these foundations, the program expands to advanced risk metrics (CVaR, drawdown, stress testing), leverage measurement (gross and commitment methods), and liquidity risk management under stressed redemption scenarios, as well as fixed income duration and convexity analysis.

Through integrated case studies, participants learn to assess compliance limits, identify potential breaches, model market and liquidity shocks, and prepare board-level risk summaries. The training combines regulatory context, quantitative modeling and governance best practices to strengthen practical risk management and reporting capabilities.

Target Audience
Fund managers, compliance officers, risk managers, quantitative analysts, and portfolio managers in European asset management.

Materials Provided
Pre-Course Materials (1 week before):
  • Key regulations reading list (UCITS, PRIIP, AIFMD)
Course Materials:
  • Comprehensive slide decks (PDF)
  • Complete case study materials with solutions
  • Excel spreadsheets
  • Python code (jupyter notebooks)
Post-Course Materials:
  • Certificate of completion
  • PDF articles
  • 1-month email support for questions

Technical Requirements
  • Laptop (case materials provided electronically)
  • Microsoft Excel including Solver add-in
  • Python installation optional, but recommended
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Program semináře: Practical Regulatory Risk Calculations for EU Funds

Seminář probíhá podle středoevropského času (CET).

UCITS & PRIIPs Risk Measurement

09.00 - 12.30

Opening Session

Regulatory Landscape Overview:

  • Evolution of EU fund regulation (UCITS I-VI)
  • PRIIPs Regulation background and investor protection objectives
  • Key differences between UCITS KIID and PRIIPs KID requirements
  • Timeline of implementation and current status (2023-2025)
UCITS SRRI Methodology

Synthetic Risk and Reward Indicator (SRRI)

Regulatory Framework:

  • ESMA guidelines on SRRI calculation methodology
  • 5-year weekly return requirement and data sources
  • Annualized volatility formula and class mapping (1-7 scale)
  • Edge cases: insufficient data, new funds, money market funds, leveraged funds
  • Monitoring requirements and SRRI stability over time

Case Study: European Equity UCITS Fund with 8-year track record

Analysis Tasks:

  • Calculate SRRI using 5 years of weekly NAV data
  • Evaluate SRRI stability: rolling 52-week calculations over time
  • The behavior of volatility across boom/bust cycles
  • Identify periods where SRRI would have changed class
  • Assess impact of 2020 COVID-19 volatility spike on SRRI
  • Compare SRRI calculated with 3 years vs. 5 years of data
  • Discuss regulatory implications of SRRI class changes

Group Discussion:

  • When should fund managers anticipate SRRI changes?
  • How do you communicate SRRI increases to investors?
  • What are the MiFID II target market implications?
  • How to handle new funds?
PRIIPs Summary Risk Indicator (SRI) Methodology

Regulatory Framework:

  • Three PRIIP categories and their determination criteria
  • Market Risk Measure (MRM): Category 2 methodology for standard UCITS
  • Credit Risk Measure (CRM): CR1-CR6 scale and look-through requirements
  • MRM + CRM aggregation matrix to final SRI (1-7 scale)
  • Why UCITS typically receive CR1 (segregated assets)
  • Key differences between SRRI and SRI: lower risk numbers explained
  • Voluntary SRI increase provisions and industry practice

Case Study: SRRI vs. SRI Comparison Analysis for 5 different UCITS funds transitioning from KIID to PRIIPs KID in 2023

Analysis Tasks:

  • Calculate SRI for each fund using PRIIPs methodology
  • Document MRM calculation process and category determination
  • Assess CRM for each fund (counterparty exposure analysis)
  • Compare resulting SRI vs. historical SRRI
  • Identify funds where SRI is 2+ classes lower than SRRI
  • Develop communication strategy for investors seeing "lower risk"
  • Consider voluntary SRI increase decisions

Group Discussion:

  • Industry reluctance to voluntarily increase SRI: why?
  • Regulatory arbitrage concerns between UCITS KIID and PRIIPs KID
  • How do distributors interpret the lower SRI numbers?

12.30 - 13.30 Lunch break

13.30 - 17.30

PRIIPs Performance Scenarios - Theory & Methodology

Regulatory Framework:

  • Annex IV & V of PRIIPs Delegated Regulation 2021/2268
  • Bootstrap resampling methodology with replacement
  • 10,000+ simulation minimum requirement
  • Historical window: 5 years of return data
  • Log return transformation and statistical rationale
  • Drift correction formula:
    • CR = exp ( ∑ r - μN - 0.5 σ2 N ) - 1
  • Risk-neutral expectations: removing historical trends
  • Four scenarios: Stress (1st/5th percentile), Unfavorable (10th), Moderate (50th), Favorable (90th)

Bootstrap Simulation:

  • How Bootstrap Works Step-By-Step
  • The Bootstrap Parameters: Sensitivity Analysis and Calibration
  • Bootstrap Methods Variations
  • Key Advantages and Limitations

Presentation & Disclosure Requirements:

  • Multiple holding period calculations (1Y, RHP)
  • Stressed volatility methodology for stress scenario
  • Monetary presentation (€10,000 investment assumption)
  • Annualized percentage returns
  • Narrative disclosure elements (A through F)
  • Known limitations: optimistic bias after bull markets, pessimistic after bear markets
  • Regulatory Q&As and industry concerns
PRIIPs Performance Scenarios - Case Studies

Case Study: Global Multi-Asset Fund Scenarios - Balanced fund (60/40 equity/bonds), €1.2B AUM, 12-year history, recommended holding period of 5 years

Data Provided:

  • 5 years of weekly NAV returns (2019-2024)
  • Includes COVID-19 crash and recovery
  • Recent period of elevated inflation and rising rates

Analysis Tasks:

  • Implement bootstrap simulation (10,000 iterations)
  • Apply drift correction methodology
  • Extract four scenarios for 1-year and 5-year horizons
  • Compare scenarios calculated at different points in time:
    • Pre-COVID (end 2019)
    • Post-COVID (end 2021)
    • Current period (2024)
  • Assess how historical window affects scenario outcomes
  • Calculate what €10,000 investment becomes under each scenario
  • Discuss whether scenarios fairly represent potential outcomes

Case Study: Scenario Backtesting & Validation - Using same fund, evaluate historical accuracy of PRIIPs scenarios

Analysis Tasks:

  • Rolling window backtest: calculate scenarios every 6 months over 2015-2024
  • Compare predicted scenarios vs. realized 1-year returns
  • Calculate "hit rates": how often did returns fall in each category?
  • Expected: Stress 1%, Unfavorable 9%, Moderate-Favorable 80%, Above 10%
  • Measure prediction bias: optimistic or pessimistic?
  • Construct transition probability matrix
  • Assess predictive power correlation

Group Discussion:

  • What do backtests reveal about PRIIPs scenario reliability?
  • Should regulators require scenario backtesting disclosures?
  • How can managers explain scenario limitations to investors?

VaR, Risk Metrics & Advanced Topics

09.00 - 12.30

Value-at-Risk for UCITS

Regulatory Framework:

  • ESMA guidelines on VaR calculation for UCITS
  • Three VaR methodologies:
    • Historical VaR (non-parametric, percentile-based)
    • Parametric VaR (variance-covariance method, assumes normality)
    • Monte Carlo VaR (simulation-based, flexible distribution)
  • 99% confidence level, 20-day holding period standard
  • Relative VaR: maximum 2x the VaR of reference portfolio
  • Absolute VaR: maximum 20% of fund NAV
  • Back-testing requirements and validation tests

Case Study: Multi-Strategy UCITS VaR Calculation - Alternative UCITS using derivatives for leverage and hedging, €300M AUM. Portfolio Composition:

  • 70% long equity positions
  • 30% equity index futures (synthetic exposure)
  • Currency hedges (EUR/USD, EUR/GBP)
  • Interest rate swaps
  • Overall net exposure: 140% of NAV

Analysis Tasks:

  • Calculate VaR using all three methods (Historical, Parametric, Monte Carlo)
  • Scale from 1-day to 20-day holding period
  • Determine appropriate reference portfolio
  • Calculate Relative VaR (fund vs. benchmark)
  • Calculate Absolute VaR (% of NAV)
  • Assess compliance with UCITS limits
  • Perform Kupiec backtest on 250 days of returns
  • Identify VaR breaches and regulatory implications

Group Discussion:

  • Which VaR method is most appropriate for different fund types?
  • How do funds manage VaR limit breaches?
  • Procyclicality concerns: VaR increases during stress when you want to increase risk
Advanced Risk Metrics & Stress Testing

Risk Beyond VaR Figures

  • Conditional VaR (CVaR/Expected Shortfall): expected loss beyond VaR
  • Maximum Drawdown: peak-to-trough decline measurement
  • Stress testing requirements (UCITS/AIFMD)
  • Historical scenario analysis (2008 GFC, 2020 COVID, 2022 inflation shock)
  • Hypothetical scenario construction
  • Risk-adjusted performance: Sharpe, Information, Sortino, Calmar ratios

Case Study: Comprehensive Risk Dashboard - Hedge fund replication UCITS with complex strategy, requires detailed risk reporting. Portfolio Characteristics:

  • Long/short equity positions
  • Volatility arbitrage using options
  • Credit strategies using CDS
  • Moderate leverage (160% gross, 40% net)

Analysis Tasks:

  • Calculate comprehensive risk metric suite:
    • VaR (99%, 20-day) and CVaR
    • Maximum Drawdown (historical and stressed)
    • Sharpe Ratio (vs. risk-free rate)
    • Information Ratio (vs. HFRX Global Hedge Fund Index)
    • Sortino Ratio (downside deviation)
  • Stress test portfolio through:
    • Historical scenarios: March 2020 (COVID), Q4 2018 (vol spike)
    • Hypothetical scenarios: 30% equity drop, 200bp rate rise
  • Sensitivity analysis: key risk factors (equity beta, interest rate duration, credit spread)
  • Rolling 52-week risk metrics: identify regime changes

Group Discussion:

  • How do you set appropriate risk limits for different fund strategies?
  • When do quantitative metrics fail (e.g., correlation breakdown in crisis)?
  • Board-level risk reporting: what metrics matter most?

12.30 - 13.30 Lunch break

13.30 - 17.30

Leverage & Liquidity Management

AIFMD Leverage Calculations:

  • Gross method: sum of absolute values of all positions
  • Commitment method: netting, hedging, and cash borrowing adjustments
  • Leverage limits and notification thresholds
  • Temporary borrowing exclusions
  • Regulatory reporting obligations

Liquidity Risk Management:

  • UCITS liquidity rules and asset eligibility
  • AIFMD liquidity stress testing requirements
  • Redemption stress scenarios (10%, 30% shocks)
  • Time-to-liquidation bucketing
  • Liquidity ratio calculations
  • Anti-dilution mechanisms: swing pricing, dilution levies, gates

Case Study: Leverage & Liquidity Crisis Management - Multi-asset UCITS facing redemption pressure during market stress. Scenario:

  • Fund size: €500M
  • Sudden redemption requests: €75M (15% of NAV) in one day
  • Market conditions: equity markets down 5%, credit spreads widening, low liquidity
  • Portfolio includes some illiquid positions (small-cap stocks, corporate bonds)

Analysis Tasks:

  • Calculate leverage using both gross and commitment methods
  • Assess current leverage against regulatory limits
  • Evaluate portfolio liquidity by time-to-liquidation buckets
  • Model impact of €75M redemption:
    • Which assets must be sold?
    • Market impact costs
    • Potential breach of diversification rules
    • Remaining liquidity profile
  • Determine if swing pricing should be applied
  • Calculate appropriate swing factor
  • Assess whether redemption gate/suspension needed

Group Discussion:

  • Regulatory expectations for liquidity management plans
  • Fair treatment of redeeming vs. remaining investors
  • Communication strategies during liquidity stress
Fixed Income: Duration & Convexity

Interest Rate Risk Measurement

Technical Framework:

  • Modified Duration: first-order price sensitivity to yield changes
  • Macaulay Duration: weighted average time to cash flows
  • Convexity: second-order effects (curvature)
  • DV01 (Dollar Value of 01): absolute price change per 1bp
  • Effective duration for bonds with embedded options
  • Portfolio duration aggregation methodology
  • UCITS bond fund duration limits

Case Study: Fixed Income Risk Management - European corporate bond fund, €800M AUM, duration target 5 years. Portfolio Details:

  • 150 bond positions
  • Mix of government and investment-grade corporate bonds
  • Some bonds with call options
  • Ladder maturity structure (1-10 years)
  • Current environment: rising rates, widening credit spreads

Analysis Tasks:

  • Calculate modified duration and convexity for sample bonds
  • Aggregate to portfolio-level duration (5.2 years)
  • Assess compliance with stated duration target
  • Model P&L impact of parallel yield curve shifts:
    • +50bp, +100bp, +200bp
    • -50bp, -100bp
  • Incorporate convexity effects for large moves
  • Calculate DV01 for portfolio
  • Scenario analysis: curve steepening/flattening
  • Credit spread sensitivity analysis

Group Discussion:

  • Managing duration in different interest rate environments
  • Challenges with callable bonds and embedded options
  • Communication of interest rate risk to retail investors
Comprehensive Integration Case Study

Multi-Fund Risk & Compliance Assessment

Risk management team evaluating three UCITS funds for quarterly board reporting

Funds:

  • Eurozone Equity Fund (€1.5B AUM)
  • Global Bond Fund (€900M AUM)
  • Alternative Strategies UCITS (€400M AUM)

Comprehensive Analysis Required:

  • Calculate SRRI and PRIIPs SRI for each fund
  • Generate PRIIPs performance scenarios (1Y and 5Y)
  • Assess VaR compliance (relative and absolute)
  • Measure leverage (both methods)
  • Evaluate liquidity profiles
  • Calculate risk-adjusted performance metrics
  • Identify any compliance breaches or concerns
  • Prepare executive summary for board
Closing Session

Implementation Best Practices & Regulatory Updates, Round Table Q&A

  • Building robust calculation infrastructure
  • Data quality and validation procedures
  • Model governance and documentation standards
  • Regulatory change management processes
  • Common implementation pitfalls
  • Upcoming regulatory developments
  • Sharing of practical experiences among participants

Conclusions of the Course

Místo konání a registrace

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Praha

Semináře se konají v samém srdci střední Evropy v hlavním městě Praze.

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Uzávěrka přihlášek:

10.6.2026

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