Risk Platform
Quantica Risk Modelling
Active
AI-native cross-asset risk, valuation, capital, climate and regulatory stress-testing platform for banks and insurers.
PythonReactPostgreSQLLLMs
Link coming soon View Quantica Risk Modelling details
AI-Native Risk Modelling
AI-Native Risk Modelling, Valuation & Stress Testing for Financial Institutions
Jonas Osman Abdelghafour — actuary and financial risk manager — builds institutional-grade modelling frameworks across banking, insurance, climate risk, capital, ALM, liquidity, valuation, and regulatory stress testing.
Basel III / CRR / CRDSolvency IIIFRS 9 · IFRS 17ICAAP · ILAAP · ORSANGFS Climate
QUANTICA · RISK ENGINE
Banking · capital & ALM
CET1 ratio (adverse scenario)11.4%
IRRBB ΔNII (+200bps)-4.8%
IFRS 9 Stage 2 migration+2.1%
Insurance · solvency
SCR (standard formula)€ 1.24B
Solvency II ratio168%
Climate · scenario overlay
Physical loss (NGFS hot-house)€ 312M
CET1 trajectory, 5-year adverse scenario · Solvency II ratio projection · NGFS hot-house physical loss path
Measurement glossary
9 of 9 terms- CET1 trajectory, 5-year adverse scenario
- Common Equity Tier 1 capital divided by risk-weighted assets, projected over five years under the supervisory adverse macro scenario.
- CET1 ratio (adverse scenario)
- Common Equity Tier 1 capital as a percentage of risk-weighted assets at the trough of the adverse scenario, after deductions and transitional adjustments (Basel III / CRR).
- IRRBB ΔNII (+200bps)
- Change in projected 12-month net interest income under an instantaneous parallel +200 basis point rate shock, relative to the base case, using behavioural repricing of non-maturity deposits (EBA IRRBB guidelines).
- IFRS 9 Stage 2 migration
- Net increase in the share of gross carrying amount transferred from Stage 1 to Stage 2 over the reporting period, triggered by a significant increase in credit risk since initial recognition (IFRS 9).
- Solvency II ratio projection
- Eligible own funds divided by the Solvency Capital Requirement, projected across the business-planning horizon.
- SCR (standard formula)
- Solvency Capital Requirement: the 99.5% one-year Value-at-Risk of basic own funds, aggregated across risk modules with the prescribed correlation matrices and adjusted for loss-absorbing capacity (Solvency II standard formula).
- Solvency II ratio
- Eligible own funds, after tiering limits, expressed as a percentage of the Solvency Capital Requirement. Values above 100% indicate capital in excess of the regulatory requirement.
- NGFS hot-house physical loss path
- Cumulative modelled physical damage to the exposed portfolio along the NGFS hot-house world pathway, discounted to present value.
- Physical loss (NGFS hot-house)
- Present value of expected asset damage and business interruption from acute and chronic hazards, derived from location-level hazard intensity and peril-specific damage functions under the NGFS hot-house world scenario.
Illustrative dashboard · each measure shown under its own regime
Expertise
Six domains of institutional risk modelling
Coverage spans banking, insurance, capital, valuation, climate risk and AI-driven model validation.
Actuarial & Insurance Risk
Pricing, reserving, capital, IFRS 17, Solvency II.
Banking & Basel Risk
CRR/CRD, ICAAP/ILAAP, IRRBB, credit, market, liquidity.
Climate & NatCat Risk
NGFS scenarios, physical hazards, transition pathways.
AI & Model Validation
Explainability, benchmarking, backtesting, governance.
Cross-Asset Valuation
Rates, credit, equity, property, FX, scenario valuation.
Regulatory Capital
SCR, RWA, stress and scenario aggregation.
Featured Platform
Quantica Risk Modelling
An AI-native cross-asset risk, valuation, capital, climate, compliance and stress-testing platform.
- Explainable AI for banking, insurance, climate risk and regulatory modelling
- Cross-asset valuation and stress testing
- Solvency II, Basel III/CRR/CRD, ICAAP/ILAAP, ORSA, IFRS 9/IFRS 17 use cases
- Climate physical and transition risk modelling using public and institutional data sources
- Model governance, validation, benchmarking, backtesting and documentation
M01
Banking
M02
Insurance
M03
Climate
M04
Valuation
M05
Capital
M06
Governance
Modular · Explainable · GovernedQUANTICA
Modelling Portfolio
Institutional-grade modelling domains
Each domain includes objectives, methods, data sources, calibration, validation and regulatory relevance.
Banking · ALM
IRRBB & ALM Modelling
Quantify interest rate risk in the banking book, delta NII and EVE, plus liquidity and balance-sheet projections.
Explore module
Insurance · Capital
Economic Capital & Solvency II
Compute economic capital and Solvency II SCR, aggregate risks and stress the balance sheet.
Explore module
Climate
Climate Risk Engine
Assess physical and transition risk across sectors, geographies and hazards.
Explore module
Valuation
Cross-Asset Valuation
Value rates, credit, equity, property and FX exposures consistently across scenarios.
Explore module
Credit
Credit & IFRS 9
Estimate PD, LGD, EAD and staging with macro overlays for IFRS 9 ECL.
Explore module
Insurance · Pricing
Insurance Pricing & Reserving
Underwriting, pricing and reserving across insurance portfolios including marine lines.
Explore module
Projects
Selected projects & platforms
A hub of ongoing work across risk platforms, climate, insurance, AI automation, media and energy transition.
Climate
ClimateShield / Climate Risk Pipeline
In development
Climate physical and transition risk modelling with NGFS scenarios, hazard data ingestion, calibration and validation.
PythonxarrayNGFSGIS
Link coming soon View ClimateShield / Climate Risk Pipeline details
Insurance
Marine Insurance Platform
Prototype
Underwriting, policy administration, pricing and reserving workflows for marine insurance portfolios.
TypeScriptReactActuarial models
Link coming soon View Marine Insurance Platform details
AI Automation
RAG Job Agent
Active
AI job-matching and application assistant using CV parsing and retrieval-augmented generation.
LangChainVector DBOpenAI
Link coming soon View RAG Job Agent details
Media
Kidonia / Kids Songs Nursery
Active
Creative AI media project and YouTube growth experiment for children's music and animation.
Generative AIVideoAudio
Link coming soon View Kidonia / Kids Songs Nursery details
Energy Transition
ARIXO / Energy Transition Modelling
Advisory
Financial modelling, valuation, M&A, capital raising and ESG/offtake analysis for renewable energy and infrastructure.
ExcelPythonDCFLCOE
Link coming soon View ARIXO / Energy Transition Modelling details
Articles & Research
Notes on modelling, AI and risk
Selected research and applied notes on modelling techniques, AI-native risk platforms and regulation.
AI
Regulation
Banking
Insurance
How AI-Native Risk Platforms Can Improve ICAAP, ORSA and Stress Testing
Explores how explainable AI, live calibration and integrated scenario engines close the gap between regulatory expectations and legacy static models.
Draft · 9 min readRead
Modelling
AI
From Fixed Assumptions to Calibrated Risk Engines
Why moving from hardcoded assumption sets to data-driven, versioned calibration pipelines strengthens governance and model performance.
Draft · 7 min readRead
Climate
Modelling
Climate Physical Risk: Data Sources, Calibration and Validation by Hazard
A pragmatic walk-through of hazard-specific data pipelines for flood, wind and heat, including calibration choices and validation metrics.
Draft · 11 min readRead
Work with Jonas