PRIIPS: developments planned for the Sofia S63 release
With the introduction of Regulation (EU) no. 1286/2014 of the European Parliament and of the European Council on PRIIPS and the subsequent integration 653/2017, APL Italiana has started an analysis to identify the data that can be provided with Sofia to support the compilation of the key information document (KID).
August 1, 2017 - In particular, the developments planned with the release of Sofia S63 (Autumn 2017) are focused on the determination of the market risk measurement and on the VaR equivalent volatility calculation with the expansion of Cornish-Fisher for Category 2 (Annex 2 on the Regulation).
As requirement for producing such information, it will be necessary the activation of the Parametric VaR module for internal funds and the activation of Parametric VaR and Time Weighted Rate of Return modules for external funds.
For more information and more details, please contact us at sofia.risk@apl.it.