SCR Calculator User Manual

Quarterly Series and Missing Values

The calculator can intake quarterly time series and series with missing values for calibration. Below is an example (compatible with our case study before):

The calculator uses pairwise correlation calibration between asset classes, so can stomach a small number of missing values in the time series; but remember:

• The first value of a return series must be available.
• Take care to clean-delete any empty rows at the bottom and avoid 'ghost rows'.
• When calculating annualised returns, the first value and the last non-empty value are used. So the last value of a return series is preferrably available, to avoid any calibration misalignments.