SCR Calculator User Manual

Insurance Capital Standard - Implementation Technicals

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

Yield curve stressing parameters under the ICS 2.0 are not yet publicly disclosed, although there are limited information available from the 2019 Technical Documents and the March 2022 Test Set. Therefore only the static March 2022 yield curves are incorporated in the SCR Calculator. The user, however, can use the get/set facility in Menu to upload a fresh set of ICS curves, if needed. Overall speaking, yield curve stresses affect liabilities more than assets.

FX risk stress under the ICS 2.0 is correlation based. Therefore the portfolio FX risk capital is calculated by first aggregating risk factor exposures under each foreign currency, then correlate them. The portfolio FX risk capital amount is not a simple sum of single asset FX risks.

Portfolio Equity risk is calculated from four components: DM, EM, Hybrid/Preferred and Other (PE/HF) and the regulatory correlation matrix as below:

ICS portfolio concentration risk is calculated separately for property and non-property assets then summed up:

• Property assets incur a threshold of 3% and excess exposures are charged a concentration risk capital
• Non-property assets are aggregated at name level; and the top 10-100 exposures are charged a concentration risk capital based on a regulatory formula defined according to Level II doc page 66, Article 217.

Total market risk with seven elements - IntRate, SpdUp, SpdDown, Equity, Property, Currency, Concentration - are aggregated using an official correlation matrix: