RISK MANAGEMENT SUPPORT
BMA develops customized risk management tool solutions.
DRaX
for UCITS, Hedge Funds, and Credit Funds
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
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
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).
Continuously evolving, DRaX adapts to changing regulatory requirements through BMA’s ongoing regulatory monitoring.
DRaX enables rapid construction and simulation of complex risk management and crisis scenarios.
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:
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).
