SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Step 6. Multi-Regime Optimisation

If we used Method 1 ("Pulled Form" from the Model Portfolio Form into the SAA form), we can pull more columns. Have the two forms side by side:

Model Portfolio Form
SAA Form

Suppose we are interested in a Swiss Solvency Test - oriented optimisation. In the Model Portfolio form, select the "SST" tab and click "Check All", so that all SST data columns are populated:

Then go the the SAA form, and click the "Pull Columns" button. You will see all the newly generated SST data columns are available for selection.

Of course, the total capital figure will not be a simple weighted sum of the line-level capital figures - it is rather aggregated through a matrix. However, our optimisation will be in the correct direction of movements; and such line-level optimisation can deal with a large number of asset classes. Once an optimised plan is achieved, you can verify its accurate capital figure in the Model Portfolio form.