| Description |
The Value-at-Risk (VaR) equivalent Volatility (VEV).
The formula for the VaR-equivalent Volatility (VEV) is: VEV = {v(3.842 - 2*ln(VaR))-1.96} / vT
with
T… recommend holding period in Years (OFEP011200 EPT Recommended Holding Period)
VaR… Value at Risk given by the Cornish-Fisher expansion
ln(Var)… Natural logarithm of VaR
where
VaR = VaR = svN*(-1.96 + 0.474 * ?/vN - 0.0687 * EK/N + 0.146 * ?²/N) - 0.5s²N
with
N… Number of trading periods in the Recommended Holding Period
s… Sigma (OFEP021500 EPT MRM Sigma)
s²… Standard deviation (squared sigma)
?… Skewness (OFEP021600 EPT MRM Skewness)
EK… Excess Kurtosis (OFEP021700 EPT MRM Excess Kurtosis)
//This field was introduced by the European Working Group with their PRIIPS Data Dictionary Template (EPT).
EPT: 01020_Portfolio_VEV_Reference
More information can be found in the Regulatory Technical Standards (RTS), Annex II, Part 1, (12).// |