Model approach
0546-en RE430 Financial Market Law As of 11.07.2026
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.
Deutsch
Modell-Ansatz 0546-de
Beim Modell-Ansatz werden die Risiken eines komplexen Effektenfonds mit dem Value-at-Risk (VaR) geschätzt. Das Modell ist ausführlich zu dokumentieren (Spezifikation des Risikomessmodells, Backtesting und Stresstests). Der VaR eines Effektenfonds darf das Doppelte des VaR des zu diesem Effektenfonds gehörenden Vergleichsportefeuilles zu keiner Zeit überschreiten.
Suggested citation
Model approach (0546-en), in: LAWPEDIA®-Glossar, provided by LAWCONSULT AG, www.lawconsult.ch/lawpedia/en/model-approach, as of: 11.07.2026 [accessed on …].
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