Germany PRIIP flow diagram

Joined
May 22, 2020
Messages
2
Reaction score
0
Country
Germany
Hello folks,

I am trying to calculate the VaR of my product using the PRIIP flow chart. It should be correct but unfortunately my result does not fit. To understand if I used the right formulas I tried to recalculate the example from the flow diagram (see graphic). I noticed that my calculation or my understanding of E[RETURN MEASURED] (see below) is probably wrong. Until now I had simply calculated the arithmetic mean. Can someone tell me where my error is or how to find the value in the example? Most calculation examples on the internet also simply use the mean value. Some of them use the geometric mean but that is not possible with negative returns anyway.

Thanks in advance,

DrVirti
 

Attachments

Ask a Question

Want to reply to this thread or ask your own question?

You'll need to choose a username for the site, which only take a couple of moments. After that, you can post your question and our members will help you out.

Ask a Question

Members online

No members online now.

Forum statistics

Threads
11,686
Messages
27,657
Members
21,546
Latest member
vipliftDaupt
Top