OFEP010200 – EPT VEV

The Value-at-Risk (VaR) equivalent Volatility (VEV).

The formula for the VaR-equivalent Volatility (VEV) is: VEV = {√(3.842 - 2*ln(VaR))-1.96} / √T

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 = σ√N*(-1.96 + 0.474 * γ/√N - 0.0687 * EK/N + 0.146 * γ²/N) - 0.5σ²N

with N… Number of trading periods in the Recommended Holding Period σ… Sigma (OFEP021500 EPT MRM Sigma) σ²… Standard deviation (squared sigma) γ… 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).//

Values

Decimal figure, rounded to maximal 7 digits after the decimal point.

Example

0.5

FundsXML 4 mapping

FundsXML EPT block:

• RegulatoryReportings/…/EPTV2/RiskAssessment/VEV_Reference

The field mapping table lists every field; openfunds to FundsXML explains the rules behind it.

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