ESA Joint Committee · priips-48 Final

Are we right to assume that the bootstrapping of equity baskets should also be based on a principal component decomposition (at least for baskets of more than two underlyings)? On which rule should th

Name: Are we right to assume that the bootstrapping of equity baskets should also be based on a principal component decomposition (at least for baskets of more than two underlyings)? On which rule should th: ESA Joint Committee Q&A — EU Financial Regulatory Q&A
Creator: ESA Joint Committee (EBA, ESMA, EIOPA)
License: https://creativecommons.org/licenses/by/4.0/

Regulation: PRIIPs
Answered: 2017-07-04
Answer provided by: ESAs (EBA, ESMA, EIOPA)

More Q&As on this regulation →

⚠

Joint Committee Q&As are published in consolidated PDF documents without explicit question/answer delimiters. Section boundaries below are identified automatically and may occasionally be imprecise.

Question

Are we right to assume that the bootstrapping of equity baskets should also be based on a principal component decomposition (at least for baskets of more than two underlyings)? On which rule should the dimension of the resulting factor model be based (dimension 3 as in the curve case could be too small)?

Answer

A principal component analysis is not needed for equity baskets.

View original on ESA Joint Committee (EBA, ESMA, EIOPA) ↗

This Q&A is published by ESA Joint Committee (EBA, ESMA, EIOPA) and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

Solvency Capital Requirement (SCR)

Answered 2023-04-27

1568

Answered 2019-09-06

1656

Answered 2019-09-10

Solvency Capital Requirement (SCR)

Answered 2025-03-28

Solvency Capital Requirement (SCR)

Answered 2022-05-06

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.