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OFEP021800 – EPT Volatility Of Stressed Scenario
Volatility of observed returns within Stressed Scenario. Stressed volatility applied for stress scenario calculations for >1y. See PRIIPs RTS Annex IV Numbers 10 and 11. In financial mathematics volatility is represented by the Greek small letter sigma (σ).
The formula for sigma is: σ=√[(1/n) x ∑(r(i)-μ)²]
with n… number of observations (OFEP021300 EPT Number Of Observed Returns) r(i)… return in period I μ… mean return of all observations (OFEP021400 EPT MRM Mean Return)
//This field was introduced by the European Working Group with their PRIIPS Data Dictionary Template (EPT). EPT: 02180_Portfolio_Observed_Stressed_Volatility//
| Property | Value |
|---|---|
| OF-ID | OFEP021800 |
| Name | EPT Volatility Of Stressed Scenario |
| Area | European PRIIPs Template (EPT) |
| Level | Share Class |
| Format | Decimal number |
| Tags | EPT |
| Introduced in | openfunds 1.26 |
| FinDatEx EPT field | 02180_Portfolio_Observed_Stressed_Volatility |
Values
Decimal figure, rounded to maximal 7 digits after the decimal point.
Example
0.205 (instead of 20.5%)
FundsXML 4 mapping
FundsXML EPT block:
RegulatoryReportings/…/EPTV2/PerformanceScenario/ObservedStressedVolatility
The field mapping table lists every field; openfunds to FundsXML explains the rules behind it.
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