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PRIIPs Category 3 - MRM and Performance scenarios

I almost worked my way through the CONSOB's PRIIPS workshop workshop and EMSA's PRIIPS flow diagram. Almost. The final missing part for me is the calculation of the standard performance scenarios for ...
Webko Wuite's user avatar
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PRIIPs Regulation: Adjustments required by curve methodology

I am currently looking at a structured product whose payoff depends on EURIBOR1Y and the associated requirements for PRIIPs computations. More precisely the regulation says the following: The ...
RDA's user avatar
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1 answer
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PRIIPs KID: if VaR (Return Space) < -1, how to compute VEV (VaR-equivalent volatility)?

The PRIIPs regulation does not specify how to compute the VaR-equivalent volatility if $VaR_{Return Space} < -1$. What would you do in the following case? I have the following moments from the ...
glaucon's user avatar
  • 111
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2 answers
648 views

PRIIPs Kid MRM Calculations

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 ...
Pablo's user avatar
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1 answer
496 views

PRIIPs Stress Scenario calculation category 2

Can someone explain to me please how to calculate the rolling volatility from slide 25 in these slides? I get the first 21 LN returns like in the example. But then I don't really know what to insert ...
Yan s's user avatar
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1 answer
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PRIIPs category 2 Cornish-Fisher : how to calculate

i am not very good at finance ,but i have been trying to calculate the example from this link. https://www.dropbox.com/s/egfx0ktolojfsek/3.PRIIPs%20Workshop%20-%20Risk%20Reward%20Methodology.pdf?dl=0 ...
Yan S's user avatar
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0 votes
1 answer
368 views

Category 3 PRIIP MRM calculation

I know that there is already a very similar post about this. Unfortunately it does not correspond exactly to my question, so I will try it again myself. I am trying to calculate the MRM of a Category ...
DrDoolittle's user avatar
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594 views

How to calculate VaR price space according to PRIIP flow diagram

My question is regarding the European regulation on standardizing the information in the KID's for PRIIPs. (https://esas-joint-committee.europa.eu/Publications/Technical%20Standards/JC%202017%2049%20(...
DrDoolittle's user avatar
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0 answers
158 views

Priips : how can we proove that bootstrapping method converges to cornish fisher for category 2 priips products?

Bootstraping method used for category 3 products is in fact used also for category 2 products. but how can we mathematically proove that the first one is suitable for category 2 priips and that it ...
leyla's user avatar
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4 votes
1 answer
745 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 ...
SB123's user avatar
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1 answer
416 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 ...
luz_andre's user avatar
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1 answer
634 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 ...
iugrina's user avatar
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1 answer
552 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 ...
iugrina's user avatar
  • 101
1 vote
2 answers
493 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 ...
Fabio's user avatar
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1 vote
2 answers
2k 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/...
Apnurm's user avatar
  • 11
1 vote
1 answer
727 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 ...
Matthew's user avatar
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-1 votes
2 answers
1k 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. "...
Mary91's user avatar
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2 votes
1 answer
947 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....
Christian63's user avatar
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1 answer
3k 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 ...
Christian63's user avatar
1 vote
0 answers
674 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 ...
Matúš Košík's user avatar
1 vote
1 answer
922 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 ...
Ryko's user avatar
  • 21
2 votes
1 answer
3k 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 ...
Matúš Košík's user avatar
2 votes
1 answer
646 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 ...
Richi Wa's user avatar
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