PRIIPS 2.0: The Countdown has begun

On 7 September 2021, the European Commission finally adopted a new version of the PRIIPs Regulatory Technical Standards (RTS). In this white paper we provide a general overview of the main changes.

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PRIIPs: The 2021 Steeplechase

Some pressure never hurts and on Feb 5th, 2021, the new proposal drafted by the European Supervisory Authorities (ESAs) is available on ESMAs website. In this revised RTS, some items have been replaced, whereas others were amended and some new elements have been added. In this executive summary, we present the different changes that are to be implemented.

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PRIIPs: Waiting for Godot

In July 2020, the ESAs informed the Commission on a new draft of the Regulatory Technical Standards (RTS) for PRIIPs. But the same EU regulators failed to endorse these technical standards. In this whitepaper we cover in detail what was on the drawing table (and what will probably come our way in the near future.

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ESG: Climate Quants

A new type of quantitative analyst will be needed by financial institutions . We are going to observe the rise of “Climate Quants”.

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PRIIPS: CHANGES AHEAD

The three European supervisory authorities (ESMA,EIOPA and EBA), published on October 16, 2019 a new consultation paper on PRIIPs…

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Quant vs. Machine

In our whitepaper, we show how one can deploy machine learning techniques in the context of traditional quant problems…

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When a CoCo cracks

the Single Resolution Board transferred all shares and capital instruments of Banco Popular to Banco Santander. We took the opportunity perform a sanity check of our risk models in this post-mortem analysis…

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VAR EQUIVALENT VOLATILITY

The determination of the market risk for PRIIPs relies on the concept of Variance Equivalent Volatility. In this paper we look into the calculations…

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