Tuesday, November 14, 2017

calculation - PRIIPs Stress Scenario for Category 2


I know this topic has been on the table before, but I haven't seen a clear explanation with an example. I have successfully calculated the previous steps in


https://esas-joint-committee.europa.eu/Publications/Technical%20Standards/JC%202017%2049%20(PRIIPs_flow_diagram_risk_reward).pdf


but I am now struggling with stress scenario calculation in pages 23-24. I have made a quick excel to show the calculation I have done. I don't know where I'm going wrong , but I'm quite close number wise (could be still a mile away from correct). A clear answer with used value dates and ranges would be much appreciated to point out where I'm wrong.



Here is a link to excel: https://www.dropbox.com/s/8htamga4mg92pf2/PRIIPS_EuroStoxx50_example.xlsx?dl=0


edit: Added more calculations in the excel above




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