Scenario Quantification Practices

Report - Nov  2017

Scenario analysis has been established as a central component of capital calculation and stress test analysis. However, a considerable diversity in quantification approaches makes it difficult to see where the industry is heading.

This project investigated current practices in scenario quantification, such as severity and frequency estimations. It ran until August 2017.

We have now published the full report for the scenario quantifications project, which is available for ORX Scenarios subscribers to download.

The report provides the high-level results of the survey and some ideas gathered during the discussion on quantification practices held during the annual 2017 Scenario Forum in London. It explores different scenario quantification methodologies and underlines commonalities among firms under similar regulatory status

Contacts: