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VAR versus expected shortfall: why Priips has got it wrong

Hardwiring of older risk measure into Priips means risk ratings could mislead investors

priips-got-it-wrong
Missing the point: the Priips 2.5% VAR methodology effectively disregards any differences in the products' KIP barrier levels
  • David Stuff and Arthur Noble
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David Stuff is co-founder and chief executive of Cube Investing, a distributor focused on structured investments; Arthur Noble is director of research at Cube Investing

Despite its troubled birth, there is much to admire about the aims of Europe's forthcoming regulatory overhaul of the retail structured products market. First and foremost, the Packaged retail and insurance-based investment products (Priips) regulation will, for the first time, put structured products on a level footing with othe

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