This package implements the Swiss Solvency Test (SST) model.
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.
Note that an Excel template provided by FINMA should be used and that another Excel worksheet would cause the simulations to fail.
Execute an SST Simulation in the R console:
library(sstModel) model <- excelToSstModel("path/to/excel/template.xlsm") result <- compute(model, NUM_SIM)
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
Simply run the following command in your terminal:
A graphical user interface will show up. You can then use the Interactive help button to discover the interface.