The German finance industry regulator, Bundesanstalt fÃ¼r Finanzdienstleistungsaufsicht (âBaFinâ), has introduced revised minimum requirements for risk management: âMindestanforderungen an das Risikomanagementâ (âMaRiskâ). Ampega will be using APT to help comply with these requirements, relying on APTâs outsourced batch market risk reporting across all its multi-asset class portfolios.
Ampega worked with SunGardâs APT to specifically meet BaFin requirements. APT will help the investment manager report and monitor Value at Risk (VaR) on a daily basis over a ten-day horizon. Those VaR figures are then back tested to determine if any outliers present a breach of rules, which would then be investigated and reported quarterly to BaFin.
The investment manager will also employ APT to measure the implied volatility surfaces on FX, equity indices, commodities and swaptions, and Euro-Bund futures. This will help Ampega gain a better informed insight into the pricing and hedging implications of the use of derivatives, under the Derivate-Verordnung element of BaFin MaRisk.
Dirk Erdmann, head of risk management at Ampega, said, "SunGardâs APT offers us three key advantages. First, it delivers a transparent, proven method to evaluate risk. Second, we now have a flexible set of analytics that is easy to integrate with our existing infrastructure and trading and order management system. Third, SunGardâs industry presence and record offers us organizational stability. As a long term partner they will continue to customize the system for us as well as develop further risk factor models addressing our changing needs.â
Rob Mackay, chief operating officer of SunGardâs APT business unit, said, "APTâs flexible batch risk reporting capability is a cost efficient and effective solution that helps asset managers meet internal and external risk reporting requirements. Ampega Gerling is one of a growing number of German investment managers utilizing APTâs risk management, BaFin compliance and risk reporting capabilities.â