London

81 Chancery Lane
London
WC2A 1DD
0207 112 8493
View map

Edinburgh

1 Lochrin Square
92 Fountainbridge
Edinburgh
EH3 9QA
0207 112 8493
View map

Dublin

24A Baggot Street Upper
Ballsbridge
Dublin
D04 V970
0207 112 8493
View map

Registered Office

7 Bell Yard,
London,
WC2A 2JR
0207 112 8493
View map

Send us a message

CLOSE X
Contact Us

Capital Model Re-Design

Actuarial model

Background

Something we often see at our clients are models which, while initially wellbuilt, have been developed over a number of years by different developers and for different reasons. Changes are always made with the best of intentions, but the result is often an inefficient model which is hard to use, prone to breaking without an obvious cause, and extremely difficult to debug and update further. 

This was the situation our client found themselves in with their Credit Model, which had reached a point where it was not suitable to support their growth plans. 

Project Aims

The purpose of the project was to redesign the model to make it easier to use and maintainThe key goals were: 

  • To make the model user-friendly, especially to users new to the model. 
  • To improve the efficiency of the model, separating tasks so that modules can be run independently. For example, to make a separate risk calibration routine that does not require the full model to be run. 
  • Restructuring the code to make it more efficient and easier to understand/update. In particular, increasing abstraction to help future developers know exactly what piece of code handles each calculation. 
  • Improve the model’s documentation with future developers in mind. This helps to guard against deterioration in model quality from future developments. 

APR's Role

We placed one of our associates on this project to help with the model development. The main tasks undertaken were to: 

  • Become familiar with the documentation and related methodology, and therefore understand what the model should be doing. 
  • Agree how to structure the model with the owner and users to achieve the desired outcomes: easier maintenance, easier run set up, and shorter runtime. 
  • Write the new, more abstracted model, reusing as much of the old code as possible. This would help replicate the old results while meeting the aims discussed in the previous section. 
  • Identify any bugs in the old model or areas where the code seemed to deviate from the intended methodology and discuss how to proceed with the model owner. 
  • Test the new code, including reconciliation with results from the previous model to ensure that all the functionality had been carried forward. 
  • Update the model’s documentation to a high standard/ 
  • Assess the impact of the deviations from the methodology identified in the previous model, and in particular, checking that the change in SCR from the corrections made was immaterial. 

Outcome

The new version of the model was met with universal approval. The faster runtime and easier model setup meant that the quarterly run results were produced more efficiently, and users were more able to understand the model itself. This was due to the increased transparency, and logical structure, which will make future maintenance more straightforward. 

The client was so impressed by our associate that they extended his contract in order to use his expertise in other areas of the business. 

What our client said

About Cristian 

During his time with us Cristian became an extremely valuable member of the team. He was very proactive, always looking for opportunities to get involved in the team’s work. His technical skills were above our expectations, and he was always able to complete any task to a great standard within the expected timelines. Even when moving to different projects within the team, he was able to pick up any new tools or actuarial knowledge quickly, adding value sooner than we would have expected from someone at his level of experience. 

When the initial placement came to an end, both Cristian and APR were happy to agree an extension so he could continue to support us with work that was initially out of the scope of his placement. Having the opportunity to extend Cristian’s contract beyond his initial end date really helped us and we were sad to see him go after he became such an important member of our team. 

About APR 

APR provided us with a service that went beyond the placement of one of their consultants. During the placement, APR continually collected feedback on their consultant to further improve his performance. The level of training he was receiving at APR showed, as he was prepared to tackle any type of challenge. While we initially feared that APR would not have any consultants with MALTAB knowledge, the breadth of experience of their staff meant that they could provide us with exactly what we needed. They also had their consultant go through additional training before starting his placement to ensure that he was well prepared for his work with us. 

The team at APR have supported me on numerous projects within my area over the last few years and I have been very pleased with the strong relationships we have now established; they offered a professional, friendly, straightforward and supportive relationship from day one.   

We have now developed our relationship to a strong cooperative partnership, and I value their ongoing support and feel we will both continue to benefit in coming years as we continue to work together.