I am having troubles with the calculation of the PRIIPs stress performance scenario so I would appreciate any help.

As far as I understand from the formula, the stress calculation, unlike the calculation of the other scenarios, depends on the length of the recommended holding period (RHP). I deduct that based on paragraph 10.b. of Annex IV of the RTS which states that the historical lognormal returns from t0 to tN have to be identified. Is N to be understood as “number of trading periods in the recommended holding period” (as defined in Annex II, paragraph 12).

E.g. for a RHP of 1 year and assumed 252 trading days, I should identify a total of 253 returns, meaning I should have a history of 254 prices. Does this mean that for a product with a RHP of 10Y I should have 10Y of historical returns/prices? On the other hand, for the calculation of MRM and all other scenarios I can simply rely on the minimum 2Y of historical prices.

Thanks, Ryko

No, all performance scenarios are N-dependent, where N is number of trading periods in the RHP (recommended holding period). In that sense there is no difference between the optimistic, pesimistic, neutral and stress scenarios.

The N has therefore no relation to how many historical returns are you obliged to gather. It only depends on the length of RHP.

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