I have not been able to get to the results of the stress scenarios. I am using the series suggested between 1.05.2012 and 1.05.2017 where I have 1283 daily values including both dates. My steps in excel are the following:
Since there are 5 years of daily prices , I calculate, for each possible day, the log normal performance on 63 days. For example in cell C65 =LN(B65/B2), then in C66 =LN(B66/B3), then in C67 =LN(B67/B4), until C1284 =LN(B1284/B1221). This makes 1282 - 63 = 1220 observations of returns. The average return of the observations is +2.26%.
In column D I calculate the difference between the return and the average return, so in D65 = -0.24% - 2.26% = -2.49%, in D66 = +2.16% - 2.26% = -0.1% and so on until in D1284 = 8.71% - 2.26% = 6.45%.
In column E I raise the results from each cell of column D to square. The column total is 6.01199142.
I divide this by 1220, to obtain 0.004927862.
I get the square root of this to get to the standard deviation and I obtain 0.07019873. This is very different than 0.017152366 indicated on page 24 of the flow diagram document.
So I am obviously missing something. Can someone please lead me in the right direction ?