SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Cash

Under Solvency II, cash does attract counterparty-default risk SCR if the issuer (country) is not of a sufficiently-high rating.

The SCR Calculator calculates counterparty-default SCR for cash. It maintains an internal database of country ratings by the Big Three rating agencies; and uses that information to work out the value.