Explanation for formula of stress scenario in PRIIPs simulation | Mathematics | Page 1

swift island Jan 25, 2025, 2:37 PM

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In the document https://www.esma.europa.eu/sites/default/files/library/jc_2020_66_priips_rts_draft_final_report.pdf p.74 one can find the formula attached in the picture. I would like to understand the theory behind this formula.

orchid kilnBOT Jan 25, 2025, 2:37 PM

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swift island In the document https://www.esma.europa.eu/sites/default/files/library/jc_2020_6...

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quartz peakBOT Jan 26, 2025, 3:00 PM

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@swift island

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swift island Jan 26, 2025, 3:30 PM

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Intuitively I would say it could be related to the moments of the lognormal distribution.

#Explanation for formula of stress scenario in PRIIPs simulation