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.

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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.

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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.

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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