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Mise en place d'un système de gestion des risques des portefeuilles gérés au sein des fonds d'investissement ucits

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Jacob, Maël ULiège
Promotor(s) : Hübner, Georges ULiège
Date of defense : 5-Sep-2018/11-Sep-2018 • Permalink : http://hdl.handle.net/2268.2/5651
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Title : Mise en place d'un système de gestion des risques des portefeuilles gérés au sein des fonds d'investissement ucits
Translated title : [fr] Mise en place d'un système de gestion des risques des portefeuilles gérés au sein des fonds d'investissement UCITS
Author : Jacob, Maël ULiège
Date of defense  : 5-Sep-2018/11-Sep-2018
Advisor(s) : Hübner, Georges ULiège
Committee's member(s) : Lambert, Marie ULiège
Mawhin, Marie ULiège
PONS, Bernard 
Language : French
Number of pages : 119
Keywords : [en] UCITS, risk reports, financial risk management, FRM, law of 17 december 2010, investment fund risk
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] Pure Capital is an independent asset management company based in Luxembourg. The measurement of the investment funds risk is unavoilable to know if the limits set in the risk profiles and the limits set in the law of 17 december 2010 are respected.
This project-thesis aims to investigate and to set up at Pure Capital a system that generates daily risk reports of the UCITS investments funds to evaluate the market risk, the concentration risk, the counterparty risk, the global risk and the liquidity risk. The risk reports must also check the limits of the law of 17 decembre 2010.
The first part of the work devotes to the study of the concept of risk. A definition of the risk is introduced through its components : the unvertainty, the exposure and the establishing of financial objectives. We define then the prospect theory through the introduction of the behavorial finance and several perception biases. Finally, these dimensions help us to define the market risk, the liquidity risk, the concentration risk, the counterparty risk and the global risk.
The second part focuses on the regulatory aspect of the risk management function of a management company based in Luxembourg and on the reasons that bring Pure Capital to generate daily risk reports of the UCITS investment funds.
The third part presents the system made to generate risk reports and a report generated by this system.
The fourth part gives the benefits and disadvantages of a system generating risk reports made internally (like I did during my internship) compared to a system made by an extern company specialised in this area.
The final part explains how the project could adress the sustainable problem.


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  • Jacob, Maël ULiège Université de Liège > Master sc. gest., à fin.

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