SCR Calculator User Manual

Version Last modified 2024-3-21

Sensitivity Testing

A typical use case of the sensitivity testing facility is to start from a specific client’s investment allocation, replace a small % with a new investment strategy, and then

  • watch the marginal sensitivity of this replacement
  • in terms of B/S risk, return and regulatory capital level
  • and any other important metrics that we care about
  • to decide whether, and where best we should do such a replacement

Blue cells in the main table are all editable. You can edit any blue cell to a sensible new value and all the stats and SCRs will refresh. The new value you entered will be instantly checked; and if it is considered invalid, the old value will be reinstated and you will get a warning message. Otherwise, a successful edit will be recorded in the "Action History" panel on the left hand side.

If you wish to make more than a handful of changes to the data, it is still best to save a separate inputsheet.

As mentioned earlier, for changing market values of individual assets, a safer way than editing cells directly is to right click the asset row and select "Adjust market value". This will ensure all the market-value-related columns - "MV_PC", "MV_LC" and "Notional" - are updated consistently and in one go.