Quantica Risk Modelling
Market risk models that survive validation
A value-at-risk number is only as good as the backtest nobody wanted to run.
By Jonas Mohamed Osman Abdelghafour, known as Yonas Osman (Yonas Osman) ·
Market risk modelling fails validation for predictable reasons: unstated assumptions about liquidity horizons, proxy series that drift from the exposure they represent, and stress scenarios chosen for plausibility rather than severity.
Quantica builds the evidence file alongside the model. Backtesting design, exception analysis, proxy justification and the treatment of illiquid positions are documented as the model is built, not reconstructed months later under audit pressure.
Expected shortfall and stressed calibration windows expose tail behaviour that a 99% VaR conceals. Where results diverge materially, that divergence is reported rather than smoothed.
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
- Document the evidence file while building, not afterwards.
- Proxy choices are a modelling assumption and must be justified.
- Where ES and VaR disagree, the disagreement is the finding.
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.