Article 422-57 into force since 21 December 2013

I. - In order to calculate aggregate risk using the value at risk approach, the asset management company shall be responsible for choosing the most appropriate approach (either relative value at risk or absolute value at risk) on the basis of the risk profile of the retail investment fund and the investment strategy.

The asset management company shall be able to demonstrate that the value at risk approach used is appropriate. The choice of approach used and the underlying scenarios shall be specified in documentation.

The aggregate risk of a retail investment fund according to the relative value at risk approach shall be equal to the ratio of the value at risk of the retail investment fund portfolio and the value at risk of a reference portfolio whose defining criteria shall be specified in an AMF instruction, minus one, multiplied by the net assets of the retail investment fund.

II. - The absolute value at risk approach for a retail investment fund shall restrict the maximum value at risk it may attain to 20 per cent of the market value of its net assets.

The terms of application of this article shall be detailed in an AMF instruction.