SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Settings

The first two rows of inputs are the Settings, which are important as they affect not only single asset calculation here, but also all calculations in all functional forms:

  • Auto Web Explain

    This checkbox, default to be ticked, allows the SCR Calculator software to display an API-based explanatory note upon every single asset SCR calculation. This involves transmitting a number of parameters to the server API and obtaining the tailored explanatory notes. If the user unticks it, no parameters will be transmitted and no explanatory notes will be obtained.

    Note that this checkbox only affects the single asset SCR calculation. In the case of the Portfolio SCR calculations, no user data or parameters are transmitted under any circumstances.

  • Monthly Data

    This button downloads the monthly dataset corresponding to the Valuation Date. It was already auto-clicked upon App start. If you changed the Valuation Date, it will self-reclick (takes a few seconds).

  • Valuation Date

    Usually the closest past month end date, except with a 3-5 days' delay if you are at a month beginning.

  • Base Currency

    Base Currency is just the portfolio currency of the investor (as opposed to Local/Issuance Currency of a financial asset).

  • Show SCR as %/£

    This toggle will instantly switch any calculated SCR figures between percentage format and monetary amounts.

  • Currency Risk

    If unticked, currency risk SCR will not be calculated. Sometimes we want to focus on other SCR types.

  • Int Rate Risk

    If unticked, interest rate risk SCR will not be calculated. Sometimes we want to focus on other SCR types.

    • Keep Positive

      This option, when ticked, keeps the interest rate SCR figure positive (positive = stress).

    • Up / Down

      This controls the direction of the interest rate SCR calculation.

  • Concentration Risk

    Most of the time we want to exclude it.

  • Yield Convention

    Bond yield convention means a yield shown as 6% with semi-annual coupon actually means a (1+3%)^2 -1 = 6.09% compound yield on an annualised basis.

  • No Neg EqSCR

    Equity SCR can be negative e.g. for a short call. If this checkbox is ticked, all equity SCRs are kept positive.