Questions tagged [regulatory-formula]
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14 questions
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Is SCR Ratio ill defined ? Is there risk of infinite Ratio?
In the rate risk module of Solvency II, the SCR can be simplified in the scenario of single asset vs single liability as the impact of a parallel shock in interest rate.
Approximately by :
SCR = ...
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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 ...
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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 (Market Risk Measure) of 5. Now, the client wants us to conduct ...
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Derivation of the 99.9% CI to a 1 in a 1000 year event
Keen to understand how BASEL derived the 1 in a 1000 year event from the CI 99.9%:
The confidence level is fixed at 99.9% (0.999) (i.e. a bank is expected to suffer losses that exceeds its capital ...
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PCA in PRIIPs regulation for simple floating interest rate
From the Q&A on the PRIIPs KID:
4. The principal component analysis of Annex II, Point 23 ensures the consistent simulation of curves. Is it mandatory to use this method also for PRIIPs that ...
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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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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....
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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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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 ...
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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 ...
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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 ...
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KID PRIIPS regulation: PCA
According to KID/PRIIPS regulation in your opinion
in which case should PCA (as from article 23) be used?
Just for structured products and bond-related products or also in other cases?
Do you have ...
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Why do regulators assume a risk-neutral world?
It is clear that when pricing derivatives we do this in the risk-neutral measure for known reasons.
In the calculation of the VaR equivalent Volatility (VEV) in the KID-SRRI calculation (see page 9 ...
- 13.8k
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Modelling returns in the real world measure with or without drift
What I would like to discuss is the following. I don't think that this is a pure duplicate, so I would be happy about comments:
On one hand it is reasonable to model log-returns as Gaussian:
$$
\log(...
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