Jonas Osman — Articles & Research https://jonasosman.life/articles Applied notes on AI-native risk platforms, IRRBB, climate physical risk, cross-asset stress testing and quantitative finance. en noreply@jonasosman.life (Jonas Osman) noreply@jonasosman.life (Jonas Osman) Sat, 11 Jul 2026 17:13:31 GMT Beyond Historical VaR: Expected Shortfall, Stressed Calibration and Tail Dependence https://jonasosman.life/articles/beyond-historical-var https://jonasosman.life/articles/beyond-historical-var Fri, 10 Jul 2026 00:00:00 GMT Why historical VaR fails in crises, and how expected shortfall, stressed calibration and tail-dependence modelling produce capital numbers that hold up. Banking Modelling Regulation Frequency–Severity Modelling of Insured Catastrophe Losses https://jonasosman.life/articles/frequency-severity-modelling https://jonasosman.life/articles/frequency-severity-modelling Wed, 08 Jul 2026 00:00:00 GMT Why the compound Poisson frequency–severity decomposition still prices most catastrophe risk, and how to calibrate and stress it honestly for todays perils. Insurance Modelling From Hazard to Loss: A Financial Framework for Physical Climate Risk https://jonasosman.life/articles/physical-climate-risk-financial-framework https://jonasosman.life/articles/physical-climate-risk-financial-framework Sun, 05 Jul 2026 00:00:00 GMT A calibrated hazard–exposure–vulnerability–loss chain that turns climate heat maps into balance-sheet numbers regulators and boards will accept. Climate Modelling Insurance Banking The Future of Catastrophe-Risk Modelling: From Black Boxes to Transparent Frameworks https://jonasosman.life/articles/future-of-catastrophe-risk-modelling https://jonasosman.life/articles/future-of-catastrophe-risk-modelling Thu, 02 Jul 2026 00:00:00 GMT Why the next generation of catastrophe models will be judged on transparency and explainability, not just numbers — and how secondary perils are reshaping the modelling landscape. Insurance Modelling Climate NGFS Climate Scenario Translation: A Practical Guide to Climate Risk Modelling https://jonasosman.life/articles/ngfs-climate-scenario-guide https://jonasosman.life/articles/ngfs-climate-scenario-guide Wed, 01 Jul 2026 00:00:00 GMT A practical guide to translating NGFS climate scenarios into financial impacts using hazard-specific physical risk functions and explainable AI. Climate Modelling AI Regulation How AI-Native Risk Platforms Can Improve ICAAP, ORSA and Stress Testing https://jonasosman.life/articles/ai-native-risk-platforms https://jonasosman.life/articles/ai-native-risk-platforms Sun, 14 Jun 2026 00:00:00 GMT Explores how explainable AI, live calibration and integrated scenario engines close the gap between regulatory expectations and legacy static models. AI Regulation Banking Insurance From Fixed Assumptions to Calibrated Risk Engines https://jonasosman.life/articles/calibrated-risk-engines https://jonasosman.life/articles/calibrated-risk-engines Sat, 02 May 2026 00:00:00 GMT Why moving from hardcoded assumption sets to data-driven, versioned calibration pipelines strengthens governance and model performance. Modelling AI Climate Physical Risk: Data Sources, Calibration and Validation by Hazard https://jonasosman.life/articles/climate-physical-risk https://jonasosman.life/articles/climate-physical-risk Sat, 18 Apr 2026 00:00:00 GMT A pragmatic walk-through of hazard-specific data pipelines for flood, wind and heat, including calibration choices and validation metrics. Climate Modelling IRRBB Modelling: Yield Curve PCA, Behavioural Assumptions and Delta NII https://jonasosman.life/articles/irrbb-modelling https://jonasosman.life/articles/irrbb-modelling Mon, 09 Mar 2026 00:00:00 GMT Building an IRRBB engine that combines PCA-decomposed yield curve shocks with defensible behavioural overlays for NII and EVE. Banking Modelling Cross-Asset Stress Testing for Banks and Insurers https://jonasosman.life/articles/cross-asset-stress-testing https://jonasosman.life/articles/cross-asset-stress-testing Sat, 21 Feb 2026 00:00:00 GMT Designing coherent macro-financial shocks that translate consistently into rates, credit, equity, property, FX and insurance liabilities. Banking Insurance Modelling