Solvency II Standard Formula SCR: Market Risk Module

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At the time of writing, the Market Risk component of the Solvency II standard formula Solvency Capital Requirement involved the application of stresses in the following areas, combined using a correlation-based approach as follows, see DA Articles 164 - 188.

Links to Nematrian webpages covering these standard formula SCR elements

-          Interest rate risk

-          Equity risk

-          Currency risk

-          Property risk

-          Spread risk

-          Concentration risk

-          Correlations

Version dated 7 December 2015

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