SCR Calculator User Manual

Step 6: Multi-Regime Optimisation

If you used Method 1 (pulling data from the Portfolio SCR Form into the SAA form), you can bring in additional columns. Open both forms side by side:

Portfolio SCR Form

SAA Form

Suppose you want to perform a Swiss Solvency Test (SST)-oriented optimisation. In the Portfolio SCR form:

• Select the "SST" tab.
• Click "Check All" to populate all SST data columns.

Next, in the SAA form, click the "Pull Columns" button. The newly generated SST data columns will appear as options for selection:

Note that the total capital figure is not a simple weighted sum of line-level capital figures—it is aggregated using a matrix. However, the optimisation will move in the correct direction, even with a large number of asset classes. Once you achieve an optimised allocation plan, you can verify its accurate capital figure in the Portfolio SCR form.