3

I believe that Basel Accords are not directly imposed on banks. Instead they are global recommendations. But in practice, all national financial regulators (e.g. FCA in UK) adopt Basel guidelines as minimum standards. Regulation does change across borders since national regulators can impose stricter or different rules to Basel. Also areas that are not ...


1

I think this question is dealt with partially here PRIIPs Stress Scenario for Category 2. I don't think you are going wrong and I believe you should use the full dataset to calculate the stressed volatilities. The ESMA Flow Diagram ( https://esas-joint-committee.europa.eu/Publications/Technical%20Standards/JC%202017%2049%20(PRIIPs_flow_diagram_risk_reward)....


1

I think the reason is that the performance scenarios should not be based on the risk-neutral world. You can clearly see that for Category 3, where in Annex IV, p. 12a the regulation requires that "the expected return for each asset or assets shall be the return observed over" the underlying history, hence one does not correct for impact of the mean as ...


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