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sstModel

Swiss Solvency Test (SST) Standard Models

Framework for the implementation of solvency related computations based on standard models for the Swiss Solvency Test (SST), a risk-based capital standard for Swiss insurance companies. Allows Monte Carlo simulation of market risk, some insurance risks and their aggregation. Additional toolbox for preprocessing computations. Convenient 'shiny' GUI combined with a parser for an input 'excel' (.xlsx) template to simplify model configuration, data fill-in and results visualization.

Functions (307)

aggregateRisks

Risk Aggregation Helper

asset

Constructing an Asset with Direct Market Price

assetForward

Constructing an Index-Forward

cashflow

Constructing a Fixed-Income-Asset

changeBaseCurrency

Change Covariance Matrix According to Change of Base Currency

check

Object Checks

check.asset

Checking Consistency of an Asset with Direct Market Price with a MarketRisk

check.assetForward

Checking Consistency of an Index-Forward with a MarketRisk

check.cashflow

Checking Consistency of a Fixed-Income-Asset with a MarketRisk

check.delta

Checking Consistency of a Delta-Normal Remainder Term with a MarketRisk

check.fxForward

Checking Consistency of a FX-Forward with a MarketRisk

check.health

Checking Consistency of a Health Delta-Normal Term with a MarketRisk and a HealthRisk

check.liability

Checking Consistency of an Insurance Liability with a MarketRisk

check.life

Checking Consistency of a Life Delta-Normal Remainder Term with a MarketRisk and a HealthRisk

check.macroEconomicScenarios

Checking Macro Economic Scenarios

check.nonLifeRisk

Checking Consistency of a nonLifeRisk with a MarketRisk

check.participation

Checking Consistency of a Participation with a MarketRisk

check.scenarioRisk

Checking Consistency of a ScenarioRisk with a MarketRisk

check.standalone

Checking Consistency of a Standalone with a MarketRisk

compute

Object Computations

compute.healthRisk

Compute a HealthRisk

compute.lifeRisk

Compute a LifeRisk

compute.macroEconomicScenarios

Computing Macro Economic Scenarios

compute.marketRisk

Compute a MarketRisk

compute.nonLifeRisk

Compute a nonLifeRisk

compute.participationRisk

Compute a participationRisk

compute.scenarioRisk

Compute a ScenarioRisk

compute.sstModel

Compute a sstModel

computeConstant

Compute The Normalizing Constant for a log-Normal Random Variable

conditionalReordering

Conditional Reordering

containsHealth

Checks if the object contains a healthRisk.

containsHealth.sstOutput

containsHealth Helper

containsInsurance

Checks if the object contains a insuranceRisk.

containsInsurance.sstOutput

containsInsurance Helper

containsLife

Checks if the object contains a lifeRisk.

containsLife.sstOutput

containsLife Helper

containsMarket

Checks if the object contains a MarketRisk.

containsMarket.sstOutput

containsMarket Helper

containsNonLife

Checks if the object contains nonLifeRisk.

containsNonLife.sstOutput

containsNonLife Helper

containsParticipation

Checks if the object contains participation.

containsParticipation.sstOutput

containsParticipation Helper

containsScenario

Checks if the object contains scenario.

containsScenario.sstOutput

containsScenario Helper

creditRisk

Credit risk

creditRisk.sstOutput

Get Credit Risk from sstOutput

currency

Constructing a Currency (FX Exchange Rate Risk Factor)

currencyIsIn

Currency in Object?

currencyIsIn.standalone

Currency in Standalone?

delta

Constructing a Delta-Normal Remainder Term with Respect to MarketRisk

equity

Constructing an Equity (Risk Factor)

equityIsIn

Equity in Object?

equityIsIn.standalone

Equity in Standalone?

excelToSstModel

Parsing an Excel Template to sstModel

expectedShortfall

Compute the Expected Shortfall

format.asset

Formating an Asset with Direct Market Price

format.assetForward

Formating an Index-Forward

format.cashflow

Formating a Fixed-Income-Asset

format.delta

Formating a Delta-Normal Remainder Term

format.fxForward

Formating an FX-Forward

format.health

Formating a Health Delta-Normal Term

format.healthRisk

Formating a HealhRisk

format.liability

Formating an Insurance Liability

format.life

Formating a Life Delta-Normal Remainder Term

format.lifeRisk

Formating a LifeRisk

format.marketRisk

Formating a marketRisk

format.nonLifeRisk

Formating a nonLifeRisk

format.participation

Formating a Participation

format.participationRisk

Formating a ParticipationRisk

format.portfolio

Formating a Portfolio

format.scenarioRisk

Formating a ScenarioRisk

format.sstModel

Formating a sstModel

format.sstOutput

Formating a sstOutput

format.standalone

Formating a standalone

format.summary.portfolio

Formating a Summary of Portfolio

format.summary.sstModel

Formating a Summary of sstModel

format.summary.sstOutput

Formating a Summary of sstOutput

fxForward

Constructing an FX-Forward

generateError

Generate error message from an error log

generateExpression

Generate an Expression

generateExpression.portfolio

Generate the Market Valuation Expression for a Portfolio

generateFunction

Generate a Function

generateFunction.portfolio

Generate the Market Valuation Function for a Portfolio

getCurrencyId

Get A Currency ID

getCurrencyId.marketRisk

Get A Currency ID

getCurrencyName

Get A Currency Name

getCurrencyName.marketRisk

Get A Currency Name

getCurrencyScale

Get A Currency Scale

getCurrencyScale.marketRisk

Get A Currency Scale

getDeltaId

Get A Delta ID

getDeltaId.marketRisk

Get A Delta ID

getDrbc

Get drbc

getDrbc.sstOutput

Get drbc

getEquityId

Get An Equity ID

getEquityId.marketRisk

Get An Equity ID

getEquityName

Get An Equity Name

getEquityName.marketRisk

Get An Equity Name

getEquityScale

Get An Equity Scale

getEquityScale.marketRisk

Get An Equity Scale

getHealthId

Get A Health Item ID

getHealthQuantile

Get A Health Item Quantile

getHealthRisk

Get Health Risk

getHealthRisk.sstOutput

Get Health Insurance Risk

getInitialFX

Get An Initial FX

getInitialFX.marketRisk

Get An Initial FX

getInitialRate

Get An Initial Rate

getInitialRate.marketRisk

Get An Initial Rate

getInitialSpread

Get An Initial Spread

getInsuranceRisk

Get Insurance Risk

getInsuranceRisk.sstOutput

Get Insurance Risk

getLifeId

Get A Life Item ID

getLifeId.lifeRisk

Get LifeRisk ID

getLifeQuantile

Get A Life Item Quantile

getLifeQuantile.lifeRisk

Get LifeRisk Quantiles

getLifeRisk

Get Life Risk

getLifeRisk.sstOutput

Get Life Insurance Risk

getMappingTime

Get A Time Mapping

getMappingTime.marketRisk

Get A Time Mapping

getMarketParticipationRisk

Get Aggregated Market Risk and Participation

getMarketParticipationRisk.sstOutput

Get Aggregated Market and Participation Risk

getMarketRisk

Get Market Risk

getMarketRisk.sstOutput

Get Market Risk

getNonLifeRisk

Get nonLife Risk

getNonLifeRisk.sstOutput

Get Non Life Insurance Risk

getParticipation

Get Participation

getParticipation.sstOutput

Get Participation

getRateId

Get A Rate ID

getRateId.marketRisk

Get A Rate ID

getRateName

Get A Rate Name

getRateName.marketRisk

Get A Rate Name

getRateScale

Get A Rate Scale

getRateScale.marketRisk

Get A Rate Scale

getScenarioRisk

Get Scenario Risk

getScenarioRisk.sstOutput

Get Scenario Risk

getSpreadId

Get A Spread ID

getSpreadId.marketRisk

Get A Spread ID

getSpreadName

Get A Spread Name

getSpreadName.marketRisk

Get A Spread Name

getSpreadScale

Get A Spread Scale

getSpreadScale.marketRisk

Get A Spread Scale

health

Constructing a Health Delta-Normal Term with Respect to healthRisk

healthRisk

Constructing a HealthRisk

initialFX

Constructing initial FX Rates

initialRate

Constructing Initial Interest Rates

initialSpread

Compute Initial Spread

intToGroups

Ordered Vector of Integers to List of consecutive integers

is.asset

Assess Class Membership (asset S3 class)

is.assetForward

Assess Class Membership (assetForward S3 class)

is.cashflow

Assess Class Membership (cashflow S3 class)

is.currency

Assess Class Membership (currency S3 class)

is.delta

Assess Class Membership (delta S3 class)

is.equity

Assess Class Membership (equity S3 class)

is.fxForward

Assess Class Membership (fxForward S3 class)

is.health

Assess Class Membership (health S3 class)

is.healthRisk

Assess Class Membership (healthRisk S3 class)

is.insuranceItem

Assess Class Membership (insuranceItem S3 class)

is.insuranceRisk

Assess Class Membership (insuranceRisk S3 class)

is.item

Assess Class Membership (item S3 class)

is.liability

Assess Class Membership (liability S3 class)

is.life

Assess Class Membership (life S3 class)

is.lifeRisk

Assess Class Membership (lifeRisk S3 class)

is.macroEconomicScenarios

Assess Class Membership (macroEconomicScenarios S3 class)

is.mappingTable

Assess Class Membership (mappingTable S3 class)

is.marketItem

Assess Class Membership (marketItem S3 class)

is.marketRisk

Assess Class Membership (marketRisk S3 class)

is.nonLifeRisk

Assess Class Membership (nonLifeRisk S3 class)

is.participation

Assess Class Membership (participation S3 class)

is.participationRisk

Assess Class Membership (standalone S3 class)

is.pcRate

Assess Class Membership (pcRate S3 class)

is.portfolio

Assess Class Membership (portfolio S3 class)

is.rate

Assess Class Membership (rate S3 class)

is.risk

Assess Class Membership (risk S3 class)

is.riskFactor

Assess Class Membership (riskFactor S3 class)

is.scenarioRisk

Assess Class Membership (scenerioRisk S3 class)

is.spread

Assess Class Membership (spread S3 class)

is.sstModel

Assess Class Membership (sstModel S3 class)

is.sstOutput

Assess Class Membership (sstOutput S3 class)

is.standalone

Assess Class Membership (standalone S3 class)

itemListToExpression

Item List to Valuation Expression Helper

itemListToFunction

Item List to Valuation Function Helper

keywordToTable

Extract a table from the excel template

keywordToTransposedTable

Extract a table from the excel template

keywordToValue

Extract a value from the excel template

launchDashboard

Launching The Dashboard In A Browser

liability

Constructing an Insurance Liability

life

Constructing a Life Delta-Normal Remainder Term with Respect to lifeRisk

lifeRisk

Constructing a LifeRisk

logNormalExpression

Log-Normal Expression Helper

macroEconomicScenarios

Constructing Macro Economic Scenarios

mappingTable

Constructing a Mapping Table

mappingTime

Constructing Time Mappings

marketRisk

Constructing a MarketRisk

marketValueMargin

Compute the Market Value Margin (MVM)

marketValueMargin.sstOutput

Compute the Market Value Margin (MVM)

mvmLife

MVM life computation

na.rm

Remove Missing Values

newtonRaphson

Find roots using Newton-Raphson algorithm

nonLifeRisk

Constructing a nonLifeRisk

participation

Constructing a Participation

participationRisk

Constructing a participationRisk

pcRate

Constructing a Principal Component Rate (Risk Factor)

portfolio

Constructing a SST Portfolio

print.asset

Printing an Asset with Direct Market Price

print.assetForward

Printing an Index-Forward

print.cashflow

Printing a Fixed-Income-Asset

print.delta

Printing a Delta-Normal Remainder Term

print.fxForward

Printing an FX-Forward

print.health

Printing a Health Delta-Normal Term

print.healthRisk

Printing a HealthRisk

print.liability

Printing an Insurance Liability

print.life

Printing a Life Delta-Normal Remainder Term

print.lifeRisk

Printing a LifeRisk

print.marketRisk

Printing a marketRisk

print.nonLifeRisk

Printing a nonLifeRisk

print.participation

Printing a Participation

print.participationRisk

Printing a participationRisk

print.portfolio

Printing a Portfolio

print.scenarioRisk

Printing a ScenarioRisk

print.sstModel

Printing a sstModel

print.sstOutput

Printing a sstOutput

print.standalone

Printing a standalone

print.summary.portfolio

Printing a Summary of Portfolio

print.summary.sstModel

Printing a Summary of sstModel

print.summary.sstOutput

Printing a Summary of sstOutput

rate

Constructing a Rate (Risk Factor)

rateIsIn

Rate in Object?

rateIsIn.standalone

Rate in standalone?

removePerfectCorr

Remove Perfectly Correlated Variables

riskCapital

Compute the Risk Capital

riskCapital.sstOutput

Compute the Risk Capital (RC)

riskFactorToExpression

RiskFactor To Expression Helper

scenarioRisk

Constructing a scenarioRisk

simulate.healthRisk

Simulate from a HealthRisk

simulate.lifeRisk

Simulate from a LifeRisk

simulate.marketRisk

Simulate from a MarketRisk

simulate.nonLifeRisk

Simulate from a nonLifeRisk

simulate.participationRisk

Simulate from a participationRisk

simulate.scenarioRisk

Simulate from a ScenarioRisk

splitComma

Split Characters

spread

Constructing a Spread (Risk Factor)

spreadIsIn

Spread in Object?

spreadIsIn.standalone

Spread in Standalone?

sstModel

Constructing an sstModel

sstModel-package

Implementation of the Swiss Solvency Test (SST) Standard Models.

sstModel_check

Run checks of the packages libraries to check for potential issues.

sstModel_news

Display sstModel R-package News File

sstRatio

Compute the Swiss Solvency Test (SST) Ratio

sstRatio.sstOutput

Compute the Swiss Solvency Test (SST) Ratio

standalone

Constructing a Standalone Market Risk

standaloneExpectedShortfall

Compute expected shortfall for standalone risk by reference

standaloneExpectedShortfall.sstOutput

Compute expected shortfall for standalone risk by reference

summary.asset

Summarizing an Asset with Direct Market Price

summary.assetForward

Summarizing an Index-Forward

summary.cashflow

Summarizing a Fixed-Income-Asset

summary.delta

Summarizing a Delta-Normal Remainder Term

summary.fxForward

Summarizing an FX-Forward

summary.health

Summarizing a Health Delta-Normal Term

summary.healthRisk

Summarizing a HealthRisk

summary.liability

Summarizing an Insurance Liability

summary.life

Summarizing a Life Delta-Normal Remainder Term

summary.lifeRisk

Summarizing a LifeRisk

summary.marketRisk

Summarizing a marketRisk

summary.nonLifeRisk

Summarizing a nonLifeRisk

summary.participation

Summarizing a Participation

summary.participationRisk

Summarizing a participationRisk

summary.portfolio

Summarizing a Portfolio

summary.scenarioRisk

Summarizing a ScenarioRisk

summary.sstModel

Summarizing an sstModel

summary.sstOutput

Summarizing a sstOutput

summary.standalone

Summarizing a standalone

tableToAssetForward

Parsing a table to a list of assetForward

tableToAssets

Parsing a table to a list of asset

tableToCashflow

Parsing a table to a list of cashflow

tableToFxForward

Parsing a table to a list of fxForward

tableToLiability

Parsing a table to a list of liability

targetCapital

Target Capital

targetCapital.sstOutput

Compute the Target Capital (TC)

translate

translate

translate.sstOutput

Translation of Fields of sstOutput

valExpression

Valuation Expression

valExpression.asset

Building the Valuation Expression for Asset with Direct Market Price

valExpression.assetForward

Building the Valuation Expression for an Index-Forward

valExpression.cashflow

Building the Valuation Expression for a Fixed-Income-Asset

valExpression.delta

Building the Valuation Expression for a Market Delta-Normal Remainder Term

valExpression.fxForward

Building the Valuation Expression for a FX-Forward Position

valExpression.health

Building the Valuation Expression for a Health Item

valExpression.liability

Building the Valuation Expression for an Insurance Liability

valExpression.life

Building the Valuation Expression for a Life Item

valFunction

Valuation Function

valFunction.asset

Building the Valuation Function for Asset with Direct Market Price

valFunction.assetForward

Building the Valuation Function for an Index-Forward

valFunction.cashflow

Building the Valuation Function for a Fixed-Income-Asset

valFunction.delta

Building the Valuation Function for a Market Delta-Normal Remainder Term

valFunction.fxForward

Building the Valuation Function for a FX-Forward

valFunction.liability

Building the Valuation Function for an Insurance Liability Valuation

valInfo

Providing Valuation Information

valInfo.asset

Providing Valuation Information for Asset with Direct Market Price

valInfo.assetForward

Providing Information for Index-Forward Valuation from a marketRisk

valInfo.cashflow

Providing Information for Fixed-Income-Asset Valuation from a marketRisk

valInfo.delta

Providing Information for Market Delta-Normal Remainder Term Valuation from a marketRisk

valInfo.fxForward

Providing Information for FX-Forward Valuation from a marketRisk

valInfo.health

Providing Information for Health Item Valuation from a marketRisk and a healthRisk

valInfo.liability

Providing Information for Insurance Liability Valuation from a marketRisk

valInfo.life

Providing Information for Life Item Valuation from a marketRisk and a lifeRisk

valueAtRisk

Compute the Value-at-Risk

volaToExpectedShortfall

Transform normal volatility in expected shortfall

write.sstOutput

Writing a sstOutput into a fundamental data sheet

sstModel

Swiss Solvency Test (SST) Standard Models

v1.0.0
GPL-3 + file LICENSE
Authors
Loris Michel [aut], Melvin Kianmanesh Rad [aut], Adrien Lamit [aut], Michael Schmutz [cre], Swiss Financial Market Supervisory Authority FINMA [cph]
Initial release

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