Swiss Solvency Test (SST) Standard Models


[Up] [Top]

Documentation for package ‘sstModel’ version 1.0.0

Help Pages

A C D E F G H I K L M N P R S T V W

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

-- A --

aggregateRisks Risk Aggregation Helper
asset Constructing an Asset with Direct Market Price
assetForward Constructing an Index-Forward

-- C --

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?

-- D --

delta Constructing a Delta-Normal Remainder Term with Respect to MarketRisk

-- E --

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

-- F --

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

-- G --

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

-- H --

health Constructing a Health Delta-Normal Term with Respect to healthRisk
healthRisk Constructing a HealthRisk

-- I --

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

-- K --

keywordToTable Extract a table from the excel template
keywordToTransposedTable Extract a table from the excel template
keywordToValue Extract a value from the excel template

-- L --

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

-- M --

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

-- N --

na.rm Remove Missing Values
newtonRaphson Find roots using Newton-Raphson algorithm
nonLifeRisk Constructing a nonLifeRisk

-- P --

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

-- R --

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

-- S --

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_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

-- T --

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

-- V --

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

-- W --

write.sstOutput Writing a sstOutput into a fundamental data sheet