Python script for calculating the (type I) equity risk solvency capital charge ("SCR") under Solvency II (along the standard formula)
Python script which sources price data from Yahoo Finance for each of the OECD / EEA indices in the global index as stipulated by EOIPA. In turn, this script calculates the global index (along pre-defined weights) and the corresponding symmetric adjustment under Solvency II. This symmetric adjustment has been put in place by EOIPA in order to reduce procyclicality of capital requirements and thus systemic risk in the insurance sector. This adjustment is applied to the standard solvency II charge for Type I equities (39%) - whilst keeping in mind the upper and lower limit of the SCR for Type I equities (i.e. 29% and 49%).
NB
- The Polish WIG30 index has not been included in the global index as Yahoo Finance does not offer historic data series for this index
- Please refer to the following link for additional background on the symmetric adjustment of the Solvency II equity capital charge
- The global index is appended to this repository as a separate data set (data.csv)
Please note - this script requires the following packages / modules in order to function properly:
