MSCI Inc., a provider of risk management and investment-decision support tools, reports that RBS (Luxembourg), has chosen MSCI as its vendor for regulatory risk reporting. RBS (Luxembourg) is part of the Royal Bank of Scotland’s wholesale banking arm.
The bank uses two products available on the RiskMetrics platform, according to MSCI: RiskManager for managed services reporting, “which enables RBSL to receive daily UCITS [the European Union’s Undertakings for Collective Investment in Transferable Securities], AIFMD [the EU’s Alternative Investment Fund Managers Directive] and custom reports for their clients, as well as for ad-hoc and trouble-shooting risk analysis”; and LiquidityMetrics analytics, which is being incorporated into RBSL’s client reports.
RiskManager provides information about commodities, equities, fixed income, foreign exchange, mortgages, and structured credit, using “multiple Value-at-Risk (VaR) simulation methodologies, robust stress testing, sensitivity analysis, and flexible instrument pricing models,” according to MSCI’s statement.
LiquidityMetrics is the “first multi-asset class liquidity risk measurement framework that extends market impact models from trading floors to risk departments and from equities to all asset classes,” MSCI adds.
“The product offerings from MSCI, a leading service provider in the risk management area, have enabled us to build up a state-of-the-art solution for market risk monitoring under both UCITS and AIFMD regulatory frameworks,” Slim Hamrouni, conducting officer, head of risk and compliance at RBSL, says in the statement.
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