Client Capital Advisory
A simple Monte Carlo solvency example: estimate required capital, identify the main risk drivers, and review the resulting risk profile.
Context and interpretation notes for this demonstration model.
This web app illustrates a transparent market-risk aggregation setup with explicit assumptions, reproducible scenarios, and traceable outputs.
A short summary of the current simulation run.
Coverage Ratio >= 1.0: capitalized above SCR threshold. Coverage Ratio < 1.0: capital shortfall versus SCR.
Simulation outputs based on the current assumptions.
| Risk | Allocated SCR |
|---|---|
| Real Estate | 2.373472 |
| Spread | 3.753067 |
| Interest Rate | 0.814580 |
| Technical Provisions | 1.675461 |
| Non-linear | 0.157444 |
| Total | 8.774023 |
| Risk | VaR |
|---|---|
| Real Estate | 6.209876 |
| Spread | 7.425472 |
| Interest Rate | 3.951758 |
| Technical Provisions | 3.382899 |
| Non-linear | 0.600311 |
Tail scenarios (losses at or above SCR): change in assets versus change in liabilities relative to the base balance sheet.
Simulated risk factors across scenarios, shown as a scatter matrix with color indicating total loss.
Empirical loss function (ECDF): cumulative probability of total loss, with SCR and 99.5% reference lines.
Adjust assumptions and rerun the model to compare strategic views.
Method: Monte Carlo simulation with 99.5% VaR and correlation-based aggregation.
Copula (Gaussian): GAUSSIAN copula with PSD-adjusted correlation matrix and Cholesky-based scenario generation.
Copula (T): T copula with PSD-adjusted correlation matrix, Cholesky-based scenario generation, and t-distributed tail behavior (df = 6.0 when selected).
Interpretation: Coverage Ratio >= 1.0 means available equity is at least as high as required SCR.
Limitations: Results are model-based estimates and depend on assumptions and input quality.
Implied dependency structure used by the simulation.
| 1.000000 | 0.250000 | -0.350000 | -0.100000 |
| 0.250000 | 1.000000 | 0.200000 | -0.150000 |
| -0.350000 | 0.200000 | 1.000000 | -0.300000 |
| -0.100000 | -0.150000 | -0.300000 | 1.000000 |
| 1.000000 | 0.000000 | 0.000000 | 0.000000 |
| 0.250000 | 0.968246 | 0.000000 | 0.000000 |
| -0.350000 | 0.296929 | 0.888444 | 0.000000 |
| -0.100000 | -0.129099 | -0.333917 | 0.928349 |
Demo Note
This demonstration configuration can be adjusted by changing assumptions and scenario definitions.