Advisory services
Scenario calibration and independent model review
A residual validation run diagnoses structure in one session. Some findings deserve more than a scorecard: a recalibrated scenario set, a validation file an appointed actuary can sign against, an independent read on a model you didn't build. That work runs on the same engine - documented, reproducible, and written for your governance file.
What the practice offers
Three lines of work on a shared analytical foundation.
Economic scenario calibration
For: insurers, reinsurers, captives, and pension funds that need real-world or risk-neutral scenario sets - calibrated, documented, and ready for your asset-liability and actuarial systems.
- Scope
- Calibration or recalibration from your historical data. Scenario paths prepared for your asset-liability and actuarial systems, with methodology documented for review and reuse.
- Deliverable
- Scenario sets, calibration documentation, and a validation report on the calibration's own residuals.
- Engagement
- A fixed fee for the calibration. Scenario sets age with the data; refresh cycles follow as needed.
Modeling support
For: appointed actuaries, consultancies, and audit teams responsible for the filing who need stochastic modeling and validation work.
- Scope
- Capital-model construction and validation, own-risk and solvency assessment analytics, and review of scenario sets and dependence structures. Working papers accompany the analysis for your team's review.
- Deliverable
- A technical memorandum and a white-label validation report for the engagement file, under your firm's letterhead when required.
- Engagement
- A fixed fee for a defined piece of work - one model or one file. Further cycles follow as needed.
Independent model review
For: investment allocators and fund administrators reviewing a manager's risk model, and disputes teams that need quantitative analysis for formal proceedings.
- Scope
- Independent examination of covariance and correlation inputs, factor-model residuals, and backtest robustness, with the reasoning set out clearly for an investment committee.
- Deliverable
- A reproducible review report for the investment committee or due-diligence file. Figures and tables can be regenerated from the underlying analysis.
- Engagement
- A fixed fee per review.
Already ran a residual validation?
FAIL badges flag residual structure - volatility clustering, serial correlation, inconsistent correlation matrices - that usually traces back to calibration. That structure is fixable, and measurable once fixed.
Bring the report to the conversation: the failing checks are the scope of work. Request economic scenarios
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Calibrated scenario sets, modeling support, or independent review - documented and ready for your file.