Post-diversified figures are receiving increased regulatory scrutiny. What action can managing agents take to improve stability in the post-diversified figures?

The default Lloyd’s co-SpreadVaR window does not take full advantage of the stability benefits of running a model on a high simulation count. In fact, the higher the simulation count, the smaller the default Lloyd’s window is.

Improvements in modelling software and a desire for more stable results have led many agents to run their internal models on a higher simulation count. Therefore, it is now more important than before to consider alternative window sizes to calculate post-diversified capital.

In this briefing, we discuss how using a window size that is a fixed percentage of the simulation count gives a more stable allocation, particularly for models with high simulation counts.

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What are our recommended actions that managing agents could take to improve stability in the post-diversified figures?

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