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 Matrix

To 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.
  • 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.