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Book IV - Collective investment products
Title II - AIFS
Chapter II - Funds open to retail investors
Section 1 - Retail investment funds
Sub-section 4 - Calculation of aggregate risk
Paragraph 1 - Measurement of aggregate risk for retail investment funds in relation to financial contracts
Sub-paragraph 3 - Value at risk approach
Article 422-58 from 21/12/2013

Article 422-58 into force since

  • Version into force since
ELI : /en/eli/fr/aai/amf/rg/article/422-58/20131221/notes

The asset management company shall install:

  1. An ex-post control mechanism for calculations using the model on previous data, in order to monitor the accuracy and performance of the value at risk model;

  2. A set of stress tests that are stringent, complete and appropriate to the risk profile of the retail investment fund, capable of simulating how the retail investment fund behaves in crisis situations.

  3. Where required by the risk profile and investment strategy, risk management tools and methods appropriate to the risk profile and investment strategy of the retail investment fund, in addition to the resources specified in 1° and 2°.