Monthly Archives: January 2022

Rule 18f-4 (SEC, Use of Derivatives)

Posted on January 6, 2022 by alundarwood

The below is copied from the SEC website. Limits on Value-at-Risk (VaR) Any appropriate VaR methodology VaR methodology adopted should account for equity price risk, interest rate risk, credit (spread) risk, (foreign) currency risk, etc. Modelling should account for non-linear … Continue reading →

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