Consultation on CESR's technical advice at level 2 on Risk Measurement for the purposes of the calculation of UCITS' global exposure

On 13 February 2009 the European Commission submitted a provisional request to CESR for technical advice on the content of the implementing measures concerning the future UCITS recast Directive. The provisional mandate might have to be completed or supplemented following the adoption of the new Directive or where it would be useful to reflect new developments in areas covered by the mandate. Following this consultation, CESR plans to publish another consultation paper in July setting out its proposed advice.
The consultation paper focuses on CESR's advice to be rendered on the issue of risk measurement of UCITS. The paper is limited to the use of risk models such as VaR in the context of the calculation of global exposure as UCITS may use this or other models in its overall risk management process. The paper should be seen as an interim step aimed at providing stakeholders with an early opportunity to give feedback on CESR's approach. CESR invites responses to this consultation paper by 15 July 2009. All contributions should be submitted online via CESR's website under the heading