SolvencyII_SCRSFCombineStresses
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Function Description
Returns the results of combining different stresses (for
different sub-modules and for the overall Basic SCR) when calculating the
Solvency II standard formula Solvency Capital Requirement. For market risk
module and for some Stress Sets, one or other of the ‘interest rate (down)’ and
‘interest rate (up)’ stresses needs to be zero for the computations to work
correctly.
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Output type / Parameter details
Output type: Double
| Parameter Name | Variable Type | Description |
| StressSetName | String | Name of StressSet to which results are applicable |
| StressType | String | Which module or overall is to be calculated |
| StressNames | String() | Array indicating names of stresses being analysed |
| StressAmts | Double() | Array indicating corresponding magnitudes of risk charges |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Solvency II functions
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Computation units used
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