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.
German: Modell-Ansatz (546)
Source: SFO D15 2010 m. e. E., 24.04.2010