Quantica Risk Modelling
Economic scenario generation without the black box
If the calibration cannot be explained, the projection cannot be defended.
By Jonas Mohamed Osman Abdelghafour, known as Yonas Osman (Yonas Osman) ·
Economic scenario generators sit underneath valuation, asset-liability management and long-horizon capital projection. When they behave as black boxes, every downstream number inherits an unexamined assumption.
Quantica builds and reviews scenario sets with the calibration targets stated explicitly: which market prices the risk-neutral set reproduces, which historical moments the real-world set matches, and where the two deliberately differ.
Martingale tests, distribution checks and sensitivity to calibration windows are reported as standard. A generator that fails a martingale test silently will eventually produce a valuation nobody can defend.
Jonas Mohamed Osman Abdelghafour, known as Yonas Osman, is an actuary and FRM who has spent more than twenty years building and validating risk models across banking, insurance and marine markets.
Key takeaways
- State calibration targets before generating scenarios.
- Run and report martingale and moment tests.
- Real-world and risk-neutral sets answer different questions.
Author bio
Jonas Mohamed Osman Abdelghafour, known as Yonas Osman is an actuary, FRM and financial risk professional specialising in banking, insurance, model risk, capital modelling and quantitative risk management.