SCR Calculator User Manual

Setting a Customised Objective

If the user wishes to minimise market risk SCR, instead of volatility, he/she can utilise the customised objective setting facility in the SAA Optimiser.

A customised objective can be defined using a set of data columns and a correlation matrix. To do this,

• Ensure you have the relevant data columns. E.g. by clicking the 'One-Click SCR' button, you will have five columns and can edit their values. Or you can prepare a set of arbitrary additional data columns in your allocation table before upload.
• To the middle right of the optimiser layout, select "Other Considerations" → "Set New", you will be presented with a list of column names to select from.
  
  You can select one or several of them.
• Once the columns are selected, press 'OK', and a pre-emptive correlation matrix is populated. You can edit its values, or download/edit/upload. Or you could have uploaded a pre-made one directly, provided that all the columns exist.
• Suppose we selected 3 columns: "Spread SCR", "Equity SCR" and "Property SCR".
  
  You will be asked to input a name for this customised objective. We call it "MktSCR2" (different from the "Total Market SCR" column automatically generated in the allocation table, because here we excluded currency and interest rate SCRs).
  

Once the objective is defined, a second efficient frontier (yellow) will be generated, minimising this customised "MktSCR2" objective:

If the user clicks the "Export Selected EF Data" button in the lower right corner of the optimiser layout, the "CustomObj" will be one of the tabs and it will store the definition for next time use.

In the efficient frontier chart region, there is a "X-axis choices" box. If you choose "MktSCR2" as the X-axis, the two efficient frontiers will be redrawn: