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The model approach measures the risk associated with complex securities funds at the value-at-risk (VaR). The model must be documented in detail (specification of risk measurement model, back testing and stress tests). The VaR of a securities fund may at no time exceed double the VaR of the comparative portfolio pertaining to the fund.

Term-Nr.: 580

German: Modell-Ansatz (546)

Source: SFO D15 2010 m. e. E., 24.04.2010

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