SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

China C-ROSS II - Implementation Technicals


Foreign vs Domestic Assets

Only foreign investment capital requirements are incorporated in the SCR Calculator.

Base Currency

Base currency is default to be CNY. Any non-CNY currency will incur a foreign currency risk charge.

Single Asset C-ROSS Capital

Single Asset C-ROSS capital calculation is well-explained using the "Explain this Calculation" button.

Portfolio-level Foreign Fixed Income Aggregation

Foreign DM and EM Fixed Income risks are aggregated using an official formula:

Portfolio-level Foreign Growth Asset Risk Aggregation

Foreign DM and EM Growth Asset risks are aggregated using an official formula:

Portfolio-level Market Risk Aggregation

Market risks - 1) domestic int rate, 2) domestic growth, 3) domestic real estate, 4) foreign FI, 5) foreign growth+RE, 6) foreign currency - are aggregated using an official correlation matrix:

The three domestic risk capital charges are not calculated in the SCR Calculator. Rather, they can be given by the user as inputs to the aggregation process; thus the user can work out the marginal impact of a certain foreign investment portfolio on an existing Domestic/Foreign mixed balance sheet.