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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
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Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
PIB App5 Market Risk
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  Versions
(1 version)
 
Dec 9 2012 onwards

Calculation of the Collective Investment Fund Risk Capital Requirement Guidance



Whole Section PDF

The definitive version of DFSA handbook text is the PDF version as that is the text of the instrument as made and published by the DFSA.

To view past versions of this module in PDF format, please visit the Archive.

There are two main approaches for calculating the Collective Investment FundG Risk Capital RequirementG . The first approach involves directly calculating a risk Capital RequirementG for any position in any FundG . The second approach involves using a look-though method which involves calculating the risk Capital RequirementsG for the positions or ExposuresG in underlying assets or investments of the FundG , using the relevant or applicable risk Capital RequirementG calculation methods. As the name suggests, a look-through method involves looking through the FundG to identify the underlying positions and trying to calculate the capital required to address the risk of loss arising from volatility in market prices of such underlying positions.

Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]