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Old 02-14-2018, 10:54 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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Old 02-14-2018, 10:56 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, 10:59 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, 10:59 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, 11:08 AM
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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, 11:12 AM
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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, 12:16 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, 12:16 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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Old 02-14-2018, 12:19 PM
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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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JMO is right
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Originally Posted by campbell View Post
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Originally Posted by Westley View Post
And def agree w/ JMO.
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Originally Posted by MG View Post
This. And everything else JMO wrote.
And this all purpose permanent quote:
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Originally Posted by Dr T Non-Fan View Post
Yup, it is always someone else's fault.
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All purpose response for careers forum:
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Originally Posted by DoctorNo View Post
Depends upon the employer and the situation.
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Originally Posted by Sredni Vashtar View Post
I feel like ERM is 90% buzzwords, and that the underlying agenda is to make sure at least one of your Corporate Officers is not dumb.
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Old 02-14-2018, 12:25 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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But the mosquitoes in New Brunswick Bay of Fundy did mess with my understanding of some limited loss functions
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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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