RISK MANAGEMENT SUPPORT
BMA develops customized risk management tool solutions.
DRaX
for UCITS, Hedge Funds, and Credit Funds
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DRaX is a comprehensive solution for valuation, analysis, risk metric calculation, and the development of dedicated risk scenarios for:
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UCITS
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Hedge Funds
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Credit instruments
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It also supports regulatory risk calculations, including:
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PRIIPs
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SCR
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AIFMD Annex IV reports
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DRaX includes a complete library of pricers for cash and derivative positions, tailored to the specific characteristics of each instrument or derivative type (equities, bonds, and currencies).
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Continuously evolving, DRaX adapts to changing regulatory requirements through BMA’s ongoing regulatory monitoring.
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DRaX enables rapid construction and simulation of complex risk management and crisis scenarios.
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Dedicated modules within DRaX handle regulatory risk calculations. Continuous regulatory monitoring and in-house development capabilities ensure high responsiveness to regulatory changes.
Development of dedicated tools
BMA develops customized risk management tool solutions for asset management companies, with a particular focus on monitoring liquidity risk.
Our tailored solutions are ideally suited for asset managers seeking to strengthen their compliance with regulatory requirements for UCITS and AIFs*.
Examples of tools implemented by BMA’s team of experts include:
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Evaluation and monitoring of liquidity risk at both position and sub-fund levels, under normal and stressed conditions:
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Review of liquidity risk monitoring methodology;
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Listed equities, fixed-income securities, and funds;
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Consolidated view across all funds / single-fund view;
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Analysis of liquidity score trends and asset-liability management approach;
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Investor redemption schedules;
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Fully customizable stress scenarios;
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Multiple report outputs (Excel, PDF, XML, etc.) for the Board of Directors, regulators, and Risk Managers.
Implementation of Customized Liquidity Stress Tests
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Assessment of liquidity risk factors related to portfolio assets and redemptions, by portfolio strategy;
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Definition of liquidity stress tests and scenarios
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Specification and validation of data requirements;
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Establishment of liquidity risk management limits and thresholds, by fund/strategy;
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Design and deployment of the framework and solution;
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Testing and back-testing of the solution;
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Drafting of tailored liquidity risk management policies and procedures.
*Regulatory requirements for liquidity risk management in UCITS and AIFs
Article 45 (3) and (4) of CSSF Regulation 10-4 and Section III.1.4 of CSSF Circular 11/512,
Article 16 of Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers (“AIFM Directive”), as supplemented by Commission Delegated Regulation (EU) No 231/2013 of 19 December 2012, which complements Directive 2011/61/EU with regard to exemptions, operating conditions, depositaries, leverage, transparency, and supervision (“Delegated Regulation”).
Recommendations and best practices from the International Organization of Securities Commissions (“IOSCO”) dated 1 February 2018 on liquidity risk management for collective investment schemes,
Recommendation of the European Systemic Risk Board (“ESRB”) dated 7 December 2017 on liquidity and leverage risks in investment funds,
and ESMA Guidelines on liquidity stress testing in UCITS and AIFs (September 2019).
