Solvency II Standard Formula SCR:
Correlations
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In the standard formula SCR computation individual
sub-component capital charges (or individual component charges) are typically
aggregated using a correlation coefficient based approach. This involves
calculating the overall charge using a formula along the lines, where 
is the capital charge
for a given component element:
The correlations proposed changed as the consultation
process developed, with different ones proposed in QIS4, CP74, in
the final Level 2 guidance developed in response to feedback on CP74 and in the
final Solvency II Delegated
Act.
The Nematrian website makes available the following tools to
help manipulate these correlations:
(a) MnSolvencyII_SCRSFStressSetNames.
Indicates acceptable stress set names (e.g. “DA” for the correlations contained
in the final Solvency II Delegated
Act).
(b) MnSolvencyII_SCRSFOverallStressNames.
Indicates acceptable stress names for a given StressSetName, e.g.
‘market’ and ‘life’.
(c) MnSolvencyII_SCRSFOverallCorrs.
Provides an array containing the correlation matrix. If there are 
different
stress names then is an array with 
terms, ordered
consistently with the ordering of the stress names given in (b).
(d) MnSolvencyII_SCRSFCombineStresses.
Combines different stresses using the correlation matrix and stress names as
above. Works for sub-modules as well as the overall computation of the ‘Basic’
SCR.
Version dated 7 December 2015
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