Asset manager stress tests tough to implement – SEC official

Advanced risk measures such as CoVar may be too complex for some funds

US Securities and Exchange Commission
Skills to measure fund fragility not accessible to all, worries SEC economist

A Dodd-Frank Act requirement to conduct annual stress tests of large asset managers is causing some head-scratching within the US Securities and Exchange Commission (SEC).

"This is really tough because a fund could be completely within compliance [of SEC rules] but also be fragile and very susceptible to run risk, so this a tough nut to crack," said Scott Bauguess, deputy director and deputy chief economist in the SEC's Division of Economic and Risk Analysis, speaking at the Buy-Side Risk USA

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