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
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
