PRIIPs Stress Scenario calculation category 2
PRIIPs Stress Scenario calculation category 2
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Yan s · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Yan s
Original post: https://quant.stackexchange.com/questions/57537
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
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Can someone explain to me please how to calculate the rolling volatility from slide 25 in
these slides
?
I get the first 21 LN returns like in the example. But then I don't really know what to insert in the formula. I get very different answers.
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Lahcen Oula · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: Lahcen Oula
Original post: https://quant.stackexchange.com/a/57655
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
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Please refer to the approach described in the PRIIP-RTS annex iv p10-13
https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32017R0653&from=en
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Yan s Source score (net votes, not local likes): 0 Original post: https://quant.stackexchange.com/questions/57537 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Can someone explain to me please how to calculate the rolling volatility from slide 25 in these slides ? I get the first 21 LN returns like in the example. But then I don't really know what to insert in the formula. I get very different answers.
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