SCR Calculator User Manual
Version 1.16.0.0 Last modified 2024-12-8
Setting a Customised Objective
Users can minimise market risk SCR, or any other metric, instead of volatility by using the customised objective feature in the SAA Optimiser.
Define Data Columns and Provide a Correlation MatrixTo set a customised objective, follow these steps:
-
Ensure relevant data columns are available. For example:
- Click the
"One-Click SCR"
button to generate five standard columns that you can edit as needed. - Alternatively, prepare and upload a set of additional data columns in your allocation table.
- Click the
-
On the middle right of the optimiser, go to
"Other Considerations"
→"Set New"
. A list of column names will appear for selection: Select one or more columns to include. -
After selecting the columns, click
"OK"
. The optimiser will populate a pre-emptive correlation matrix, which you can edit directly, download, or upload after modifications. Alternatively, upload a pre-made matrix if all selected columns are included. -
For example, if you select
"Spread SCR"
,"Equity SCR"
, and"Property SCR"
, the system will prompt you to name the customised objective. In this case, we name it"MktSCR2"
to distinguish it from the default"Total Market SCR"
, which includes currency and interest rate SCRs.
Generating and Comparing Efficient Frontiers
After defining the objective, a second efficient frontier (yellow) will be generated, minimising the customised "MktSCR2"
objective:
Clicking the "Export Selected EF Data"
button in the lower-right corner of the optimiser exports the efficient frontier. The "CustomObj"
tab will store the customised objective definition for future use.
To compare efficient frontiers, use the "X-axis choices"
box in the efficient frontier chart. Select "MktSCR2"
as the X-axis to redraw the chart:
Notice how the 'kink' now aligns with the first efficient frontier, which was optimised based on volatility and did not minimise market SCRs.