I am currently modelling a category 2 PRIIP in Excel based on some share price datas provided by a client. The calculations yield a MRM of 5. Now, the client wants us to conduct an analysis on how they could get a MRM of 2. The question is, how would you do that?
MRM is determined by VeV, which is determined by VaR. The calculation of VaR includes the standard deviation, skewness, excess kurtosis and the number of months in the recommended holding period. So, we want VeV to be in an interval between 0,5% and 5,0% (currently 30%). That would mean we need new values for standard deivation, skewness and excess kurtosis. Is that even possible with the current dataset? Do we even need a dataset or do we just throw in some fictional numbers of standard deviation, skewness and excess kurtosis in order to hit a VeV between 0,5% and 5,05? How would you guys approach this task? Maybe use Solver in Excel?
I really look forward to your answers :)