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  #1  
Old 02-14-2018, 11:54 AM
ActuarialProfessional ActuarialProfessional is offline
 
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Default Capital Modelling - callibrating, validating and reviewing parameters

Hi all,

My boss has recently asked me to help out the capital modelling team because they are under a lot of pressure at the mo.

She mentioned to me that I will need to get up to speed quickly with how they calibrate and validate their (non-life) stochastic internal capital model, and carry out regular parameter reviews.

Does anyone here have any useful advice on what those 3 tasks likely entail on a day-to-day practical basis please? I'd love to be able to have a good high-level rough idea of what extra skills I would need to develop and swot up on before my boss expects me to be up and running soon!

Many thanks and appreciation

AP
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  #2  
Old 02-14-2018, 11:56 AM
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swot up on




Quote:
English
Verb

to swot up on (phrasal verb)

To study particularly hard to learn a subject quickly. quotations ▼

Synonyms

bone up on
TIL
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Old 02-14-2018, 11:59 AM
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TIL
hahaha


TO the OP,

Do you know the structure of the company's model?
Capital models are pretty big and if you're validating, you will probably be validating a portion of it.
It will take some time to get used to how the model works. I wouldn't be too worried, your manager should expect you to take some time learning it.
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Old 02-14-2018, 11:59 AM
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TIL
My impression is that it's mostly a British-ism. Now I am wondering where the OP is located. And I have zero helpful advice on the subject.
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Old 02-14-2018, 12:08 PM
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Wait,

She is seriously asking you to review and validate a capital model you have never seen yet?

How much experience do you actually have?
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Old 02-14-2018, 12:12 PM
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Wait,

She is seriously asking you to review and validate a capital model you have never seen yet?

How much experience do you actually have?
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  #7  
Old 02-14-2018, 01:16 PM
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Wait,

She is seriously asking you to review and validate a capital model you have never seen yet?

How much experience do you actually have?


How they calibrate, validate and review their capital model is basically what the model does, how they know it's right, and how they keep it right in the future. It's everything that goes into the model and, as it's a stochastic model, I'm guessing it's a pretty complicated set up you've got there...
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Old 02-14-2018, 01:16 PM
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My impression is that it's mostly a British-ism. Now I am wondering where the OP is located. And I have zero helpful advice on the subject.
There's also the IFA thingy in the header as another clue.
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  #9  
Old 02-14-2018, 01:19 PM
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Originally Posted by vjvj View Post
There's also the IFA thingy in the header as another clue.
Oh. It appears like a violet-colored box on my computer screen. But yeah, definitely a clue if you click on it.
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My latest favorite quotes, updated Feb 15, 2018. Hmmm. It's been quite a while.

Spoiler:
I should keep these four permanently.
Quote:
Originally Posted by rekrap View Post
JMO is right
Quote:
Originally Posted by campbell View Post
I agree with JMO.
Quote:
Originally Posted by Westley View Post
And def agree w/ JMO.
Quote:
Originally Posted by MG View Post
This. And everything else JMO wrote.
And this all purpose permanent quote:
Quote:
Originally Posted by Dr T Non-Fan View Post
Yup, it is always someone else's fault.
MORE:
Quote:
Originally Posted by PeppermintPatty View Post
But sometimes you get someone who has that charming mix of "don't care" and "don't get it", and there's just not much you can do.
Quote:
Originally Posted by Bro View Post
I recommend you get perspective.
Quote:
Originally Posted by Enough Exams Already View Post
Dude, you can't fail a personality test. It just isn't that kind of test.
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  #10  
Old 02-14-2018, 01:25 PM
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Oh. It appears like a violet-colored box on my computer screen.
Yep. That used to be our logo. We have a better one now...
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Originally Posted by UFActuary View Post
But the mosquitoes in New Brunswick Bay of Fundy did mess with my understanding of some limited loss functions
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Originally Posted by King of the North View Post
Excel gave me #VALUE.

Edit: Nevermind, I was linking a sumif and didn't open the linked spreadsheet. It is now giving me #N/A.
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