On May 23, 2019, UnRisk presented their mathematical and computational PRIIPs results in a seminar organized by Finanzverlag. Other speakers included representatives of the Autrian Financial Market Authority (FMA).
The PRIIPs regulation leads to serious problems when interest rates become negative. For the Euribor1m, this was the case for the first time in Sept. 2014.
The images show Euribor1m paths starting on Sept. 5 and on Sept. 8, 2014. Negative interest rates on Sept. 8 lead to completely different distributions when obeying the PRIIPs regulation.
