EIOPA · 1135
1135
- Regulation
- Symmetric adjustment of the equity capital charge
- Submitted
- 2017-01-26
- Answered
- 2019-10-18
Question
I'm not able to replicate the Symmetric Adjustent at 30/06/2016. I follow the examples given in the excel file, until the 28/01/2014 i can replicate correctly the Eiopa Index; but from 29/01/2014 onwards i have always an error in the computation. The weights are always the same for each date?
Answer
After reviewing this excel file, we have noticed the following differences:
Firstly, the calculations of EIOPA equity index are based on non-total return indices. It seems you are using total return indices. Please check for example the values for DAX index. Secondly, for non-trading days the calculations are based on previous day's values. For example for 25 Dec, the value from 24 Dec is taken, or for 1 January, from 31 Dec.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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