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Questions tagged [regulatory-formula]

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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 ...
Matúš Košík's user avatar
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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 of 5. Now, the client wants us to conduct an analysis on how ...
Pablo's user avatar
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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 ...
eemrunn's user avatar