ADVISORY Risk Measurement Services for Investment Funds [...]... series Simulation of liquidity risk impact on portfolio composition and risk profile Holistic View on a Fund’s Liquidity Risk 12 | Risk Measurement Services for Investment Funds Global Benefits High Quality Proposition We understand our services in a modern way, which means that we will not only perform the risk measurement, but operate like an integrated group within your daily risk management process under... methods, a liquidity risk measurement framework which has the flexibility to be adapted to different liquidity risk profiles and can be integrated into a variety of different risk management strategies Our approaches do not impose a certain risk management strategy, rather they can be aligned to your existing risk management strategy Market Liquidity Risk Redemption Risks (Investor Behavior Risk) Liquidity.. .Risk Measurement Services for Investment Funds | 9 Synthetic Risk and Reward Indicator (SRRI) Your Benefits ✓ Reliable and competent partner for outsourcing the SRRI ✓ All type of funds are handled in a single solution ✓ Sound methodology validated by KPMG’s experts ✓ Validation of the Fund... Volatility surface as a basis for knock out option valuation KPMG’s experts can assist you in building up a sound valuation process and provide you with independent valuation of OTC derivatives, including complex ones, e.g Asian options on commodity indices or knock-out options included in bonus structures Risk Measurement Services for Investment Funds | 11 Liquidity Risk Your Benefits ✓ Unique approach... SRRI Process Fund Classification Finding Suitable Benchmark or Asset Mix SRRI Calculation Data Handling Verification Reporting 10 | Risk Measurement Services for Investment Funds Valuation of OTC Derivatives Your Benefits ✓ Experienced third party valuation provider for OTC products ✓ Broad range of products covered ✓ Best practice and self-developed methodologies According to CSSF Regulation 10-4... Specialist As a Luxembourg based risk and regulatory specialist, KPMG can identify regulatory and technological changes specific to Luxembourg and turn this knowledge into opportunities for you For more information, please contact: Sven Muehlenbrock Director Head of Financial Risk Management T: +352 225151-6819 E: sven.muehlenbrock@kpmg.lu Dr Martin Reinhard Manager Financial Risk Management T: +352 225151-7978... 51 71 The information contained herein is of a general nature and is not intended to address the circumstances of any particular individual or entity Although we endeavour to provide accurate and timely information, there can be no guarantee that such information is accurate as of the date it is received or that it will continue to be accurate in the future No one should act on such information without... statistics/stochastic and IT Proactive Knowledge Transfer We offer you training and recurring up-date sessions on risk management including general risk management principles and details of our methodologies proactively Further, we provide you with assistance in coping with new regulatory requirements in respect of risk management Tailor-made Solutions The combination of self-developed methods with highly trained... products and greater ease of understanding It translates the volatility of the returns into a general indication concerning the overall risk of the fund Depending on the result, the fund is allocated into one of seven risk classes We can assist you in the classification of your funds into one of the required categories: Market, Absolute Return, Total Return, Life cycle or Structured Fund In addition, we can... management process under your control Reliable and Fair Prices KPMG is widely known for the reliability of its services and the open communication combined with fair and fix prices Transparency We will provide you with full transparency over the models and processes used In-House Research and Development Group Within our group of risk experts, we have a number of experts who come from and who are still strongly . ADVISORY Risk Measurement Services for Investment Funds