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Questions tagged [priips]

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0answers
84 views

PRIIPs Category 3 intermediate holding periods

I'm going through the Regulation related to the KID documents for PRIIPs. (available here) The part in Annex IV (Performance Scenarios) for Category 3 PRIIPs, when calculating expected values for ...
3
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1answer
257 views

PRIIPs stress scenario 2 calculation period of calculation

I have recreated the calculations based on the examples in the JC 2017 49 flow diagram. A couple of questions that I am hoping someone can help with. I can get back to the exact numbers for ...
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1answer
195 views

PRIIP Category 3 Curves

Good evening, I've tried searching similar posts, but most are unanswered or in a more advanced step than what I'm trying to achieve. I've managed to do the boostrap method for spot prices ...
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1answer
266 views

PRIIPs Category 3 risk-free discount factor - MRM and Performance scenarios

PRIIPs regulation Annex II (MRM) states in point 16: "The VaR shall be the value of the PRIIP at a confidence level of 97.5% at the end of the recommended holding period discounted to the present date ...
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1answer
206 views

PRIIPs bootstrap for Category 3 MRM - bonds - future values to maturity

PRIIPs regulation Annex 2 states in Point 20 that bootstrapping is to be used to infer the expected distribution of prices or price levels for the PRIIP’s underlying contracts from the observed ...
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2answers
249 views

Simulation curves; PRIIPS category 3

Once the yield matrix has been computed, the eigenvectors must be calculated to project the yield matrix on the 3 main dimensions. Tehen is wasted to calculate the yield matrix to be used for the ...
1
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3answers
601 views

PRIIPs Stress Scenario for Category 2

I know this topic has been on the table before, but I haven't seen a clear explanation with an example. I have successfully calculated the previous steps in https://esas-joint-committee.europa.eu/...
0
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1answer
278 views

PRIIPS Category 2 Stress Scenario Calc

Good evening This is where I am currently at with regards to calculating the sub interval details. I have split the calculation into 2 steps, firstly I am taking the return for date x minus the ...
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2answers
464 views

PRIIPs Stress Scenario

Let me ask you about the following rationale regarding stress scenario (IV Annex 10 (c)): " Identify for each sub interval of length w the historical lognormal returns rt, where t=t0, t1, t2, …, tN. "...
2
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1answer
477 views

PRIIPs category 2 stress scenario - general question

Having calculated the 1Y stress scenario at certain dates on the Euro stoxx 50 series, I realise that it jumps during June 2017. As at 31/5/2017 I get 0.347660613, and as at 30/06/2017 I get 0....
0
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1answer
997 views

PRIIPs category 2 stress scenario calculation steps

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 ...
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0answers
183 views

PRIIPs Stress Scenario for Category 2 instruments

I do have my trouble understanding the methodology for the Stress testing of Category 2 products. For a fund with holding period of more than 1 years and weekly data I understand to use the sub-...
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0answers
434 views

PRIIPs category 3 curve dependent products (PCA)

My question is regarding the PRIIPs regulation, specificaly about category 3 products that depend on yield curves and require PCA. The product in question is index-linked product, which means that the ...
0
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1answer
586 views

PRIIPs category 2 stress scenario calculation

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 ...
2
votes
1answer
2k views

PRIIPs category 2 stress scenario methodology

recently new document has been provided by EU supervisors regarding the new PRIIPs KID methodology. (PRIIPs KID is 3page document about the fund/product that is being sold to clients. It has to inform ...
4
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1answer
429 views

Distributional assumptions in PRIIPs

And yet another question to discuss the assumptions in PRIIPs. It is remarkable that in these legal documents a Cornish-Fisher expansion including skewness and kurtosis is used. Looking at the very ...