Germany PRIIP flow diagram VaR calculation in Excel

May 22, 2020
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Hello folks,

I got a question regarding the calculation of VaR in the PRIIP flow diagramm.

Link to the flow diagram

Our observes product belongs to category 3. Page 10 of the flow diagram shows the calculation of Var by simulations. I finished step 2 and my data is 5 years of daily prices for the underlying asset of my product. I have numbered the prices in an extra column.

For step 3, I created a table for the recommendet holding period (hard to explain for me in english. I took the day before issue from the products KID as startingpoint and created a column for the recommendet holding period). Then I created a second column and put random Numbers in it using the random number function. Then I created a third column with a VLOOKUP() function finding the corresponding returns for the numbers. I thought that until then I would do everything right. (please correct me if I'm wrong)

Now step 4 is my Problem. If I calculate the returns as described in the flow diagram I get percentage values. Step 4 sounds like I need absolute values. Can someone explain to me how to proceed or at least if I am right so far?

Thanks in advance,



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