Structured UCITS

Environment, offer and risk management

  1 day
Course objectives

  • Understand the principles and stakeholders
  • Control the offer of structured UCITS
  • Master the risk management, the evolution and perspectives of UCITS framework
Course content

Understand the UCITS environment

  • The guiding principles of the 2009 European Parliament Directive
  • Mutual recognition and passporting
  • Role and responsibilities of the different actors in a UCITS platform
  • Investment restrictions imposed by the UCITS framework

Case study: Typical structure of a UCITS fund platform

The offer of structured UCITS

  • UCITS eligibility of a financial index
  • UCITS and commodities
  • Use of derivatives in the UCITS framework
  • Formula funds
  • UCITS ETFs

Case study: Analysis and evaluation of an “autocall” structured fund

Risk management in the UCITS framework

  • The approach called “commitment”
  • The VaR approach

Case study: Calculation of the global exposure of a UCITS

Developments and perspectives of the UCITS framework

  • Understand UCITS 4, 5 and soon 6
  • The success of UCITS standards in Asia
  • UCITS and AIFM



Julien Dauchez

Julien Dauchez

Julien is a quant-trained derivatives specialist with over 16 years experience in capital markets. After graduating with a Masters in quantitative finance from HEC and a M.Eng in Applied Computer Science from Dauphine University in Paris, Julien started his career at Lehman Brothers in London in 1998 where he structured interest rates derivatives and hedge fund-linked products for clients in Europe. After 7 great years at Lehman, Julien joined Barclays Capital’s Equity and Fund Structured Markets (EFS) in New York where he headed the fund-linked derivatives structuring and marketing team for the Americas. Upon his return to London in 2010, Julien joined the asset management arm of Barclays Capital where he originated UCITS and other investment funds for both institutional and retail-oriented clients. Julien left Barclays in June 2013 to set-up his consultancy. Julien has also been a visiting lecturer at HEC school of management in Paris.

Julien Dauchez also teaches :