To create a self-signed certificate in Salesforce classic please follow these next steps:
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From Setup, in the Quick Find box, enter "Platform Encryption"
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Select Key Management.
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Click Bring Your Own Key.
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Click Create Self-Signed Certificate.
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Enter a unique name for your certificate in the Label field. The Exportable Private Key, Key Size, and Use Platform Encryption settings are pre-set and should be kept as such to ensure that your self-signed certificate is compatible with Salesforce Shield Platform Encryption.
When the Certificate and Key Detail page appears, click Download Certificate.
If you are not sure whether a self-signed or CA-signed certificate is right for you, consult your organization’s security policy. See Certificates and Keys in Salesforce Help for more about what each option implies.