Why do you need the SST Tool ?
Until now, the market risk model for the Swiss Solvency Test (SST) was sensitivity-based. The sensitivity of a portfolio was computed with respect to the market risk factors and the target capital calculation followed immediately. FINMA introduced a new market risk standard model for the SST 2019. This model is no longer sensitivity-based and uses exact valuation for the most typical insurance positions. With this new model, the SST target capital is approximated using Monte Carlo simulations: this is where the SST Tool comes in.
How does the SST Tool work ?
The SST Tool is an open-source (GPL-3 licensed) software implementation of the new standard market risk model. It also allows aggregation of market and insurance risks using copulas. It is an R package called sstModel (see it on CRAN) that comes with a dashboard (Graphical User Interface) and a new SST Excel template to simplify model configuration, data fill-in and results visualization.
- Market portfolio exposures (e.g. real estate, expected cash flows)
- Output of the life standard model
- Output of the health standard model
- Output of the non-life standard model or imported simulations
- Model parameters
- Simulate to obtain the market risk distribution
- Aggregate the market risk distribution with the insurance risk distribution
- Compute the solvency figures from the aggregated distribution
How can we help you with the SST ?
Our team was built around the original authors of the SST Tool. This project allowed us to gain unique knowledge about the Swiss Solvency Test 2019. More particularly, our expertise about the SST Tool and the new market risk standard model allows us to assist you with the following services.
We help you understand the new market risk standard model and its implementation through training sessions. We also provide workshops on the source code of the SST Tool and its potential extensions.
We provide support and consulting for the completion of the SST and help you get a better understanding of your SST.
Company-specific adjustments of the market risk standard model are possible subject to FINMA's approval. This can be the case for additional risk factors (e.g. for precious metals) or for model extensions (e.g. adding valuation functions for protective put options or using a currency basket). We help you integrate your company-specific adjustments into the market risk model and into the SST Tool. We then assist you throughout FINMA's approval process.
We help you implement additional features for the SST Tool such as:
- Tailored risk contributions
- Upload, save and aggregate several portfolios
- User management
- Deploy the SST Tool over your intranet
- Automate the SST