- Notifications
You must be signed in to change notification settings - Fork7
MBKraus/Solvency_II_Spread_Risk_Capital_Charge
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
Python script for calculating the spread risk solvency capital charge ("SCR") under Solvency II (along the standard formula)
This script calculates the spread risk SCR percentage and spread risk MV capital charge an insurer needs to maintain for a portfolio of both 1) bonds and loans (other than residential mortgages) and 2) covered bonds (along the standard formula of Solvency II).
A sample bond portfolio file (in CSV) is attached to this repository. A print screen of this portfolio file and its corresponding SCR charges (per this script) are shown below.
Please note - this script requires the following packages / modules in order to function properly:
Name Rating_class Coupon MV_EUR Modified_duration Covered_bond \0 Bond A 0 1.5 433 200 0 1 Bond B 1 2.1 132 20 0 2 Bond C 2 3.1 98 9 0 3 Bond D 3 4.1 231 10 1 4 Bond E 4 8.1 532 25 0 5 Bond F 5 3.1 36 16 0 6 Bond G 6 5.4 245 5 1 7 Bond H 7 15.0 145 25 0 Non_EEA_sovereign_issue_in_dom_curr Issue_from_entity_not_meeting_MCR 0 0 0 1 0 0 2 0 0 3 0 0 4 0 0 5 0 0 6 0 0 7 0 0 Name Rating_class Coupon MV_EUR Modified_duration Covered_bond \0 Bond A 0 1.5 433 176 01 Bond B 1 2.1 132 20 02 Bond C 2 3.1 98 9 03 Bond D 3 4.1 231 10 14 Bond E 4 8.1 532 25 05 Bond F 5 3.1 36 16 06 Bond G 6 5.4 245 5 17 Bond H 7 15.0 145 25 0 Non_EEA_sovereign_issue_in_dom_curr Issue_from_entity_not_meeting_MCR \0 0 01 0 02 0 03 0 04 0 05 0 06 0 07 0 0 SCR_percentage SCR_instrument0 0.902 390.5661 0.134 17.6882 0.098 9.6043 0.200 46.2004 0.491 261.2125 0.615 22.1406 0.375 91.8757 0.380 55.100About
Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)
Topics
Resources
Uh oh!
There was an error while loading.Please reload this page.
Stars
Watchers
Forks
Releases
No releases published
Packages0
No packages published