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2 answers
654 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 ...
0 votes
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 ...
1 vote
1 answer
572 views

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 ...
0 votes
0 answers
426 views

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 ...
1 vote
1 answer
728 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 ...
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 ...
1 vote
1 answer
172 views

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 ...
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....
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 ...
1 vote
0 answers
676 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 votes
1 answer
602 views

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 ...
2 votes
1 answer
386 views

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 ...
4 votes
1 answer
538 views

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(...