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Questions tagged [regulation]

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Is market data api subject to regulatory controls?

I have noticed that many (also paid) market data Apis provide incomplete or sometimes even completely wrong market data. Now I have noticed that almost all providers write in the terms and conditions ...
Martin132's user avatar
1 vote
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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
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Modelling the Order Book

For every country, there are Regulators who monitor and regulate the activities of Stock exchanges etc. Do those regulators also monitor Order books of those exchanges? Do they monitor real time? or ...
Brian Smith's user avatar
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FRTB Spearman correlation coefficient definition

I am just writing my thesis and would like to understand the spearman correlation coefficient definition within the FRTB. Somehow it is not clear from the definition. The reason what I don't ...
NewNY1990's user avatar
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Market risk FRTB: calculation of Vega risk charge

I recently started working on a project that requires me to deal with the new market risk standard issued by the Basel Committe: I am trying to calculate ...
Chris88's user avatar
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1 vote
1 answer

Are Indices Regulated

Suppose that a bank (or any regulated body) wants to sell and ETF, replicating some index. Does that replicator have to adhere to the Basel accords? Similarly, if a bank (or any regulated body) ...
ABIM's user avatar
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1 vote
1 answer

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
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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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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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2 votes
1 answer

CFTC CPO Exemptions

What are the exceptions set by the CFTC which exempt Commodity Pool Operators (CPO) from registering as such?
Jonathan's user avatar
  • 131