SCR Calculator User Manual

Quarterly Series and Handling Missing Values

The calculator supports calibration using quarterly time series and series with missing values. Below is an example compatible with our previous case study:

The calculator uses pairwise correlation calibration between asset classes, allowing it to handle a small number of missing values in the time series. However, keep the following in mind:

• The first value in a return series must be present.
• Ensure that empty rows at the bottom of the dataset are cleaned up to avoid "ghost rows."
• When calculating annualised returns, the first and last non-empty values in the series are used. For accurate calibration, it’s preferable to have the last value of the series available.