README.md

In sstModel: Swiss Solvency Test (SST) Standard Models

Overview

This package implements the Swiss Solvency Test (SST) model.

1. Installation

Download either the source version (sstModel_X.Y.Z.tar.gz) or the binary version (sstModel_X.Y.Z.zip, Windows only) by clicking on the file you would like to download.

1. Open RStudio and click on the Packages tab in the lower right window.
2. Click on the Install button
3. Select Install from: Package Archive File
4. Click on the Browse button and find the archive file you just downloaded.
5. Optionnally choose in which library you want to install the package.
6. Click on the Install button and wait for the procedure to finish.
7. Run this command in your R console: library(sstModel)
8. Run this command in your R-console to check that everything is ok: sstModel_check().

2. Quick User guide

Note that an Excel template provided by FINMA should be used and that another Excel worksheet would cause the simulations to fail.

a. Command line

Execute an SST Simulation in the R console:

library(sstModel)
model <- excelToSstModel("path/to/excel/template.xlsm")
result <- compute(model, NUM_SIM)

Where path/to/excel/template.xlsm is the path to the Excel template on your computer and NUM_SIM is the desired number of simulations. Please note that very large number of simulations (> 1 000 000) will cause very long calculations.

Different solvency figures can be computed using the following methods.

marketValueMargin(result) # SST market value margin.
targetCapital(result, with.scenario = F) # SST target capital without scenario aggregation
targetCapital(result, with.scenario = T) # SST target capital with scenario aggregation
riskCapital(result, with.scenario = F) # SST one-year risk capital without scenario aggregation
riskCapital(result, with.scenario = T) # SST one-year risk capital with scenario aggregation
sstRatio(result, with.scenario = F) # SST ratio without scenario aggregation
sstRatio(result, with.scenario = T) # SST ratio with scenario aggregation

b. Graphical User Interface

Simply run the following command in your terminal:

sstModel::launchDashboard()

A graphical user interface will show up. You can then use the Interactive help button to discover the interface.

sstModel documentation built on May 2, 2019, 12:16 p.m.