--- title: "ORSA climate scenarios" source_url: https://abgalis.com/topics/orsa-climate-scenarios canonical: https://abgalis.com/topics/orsa-climate-scenarios description: "What makes a defensible ORSA climate-scenario library — bespoke vs off-the-shelf, NGFS as context, capital and reverse-stress multi-use coverage." publisher: Abgalis Limited author: Abgalis Research date_published: 2026-05-08 date_modified: 2026-05-08 keywords: ["ORSA", "climate scenarios", "NGFS", "scenario analysis", "Solvency II", "reverse stress test", "internal model"] retrieved: 2026-08-01 content_signal: search=yes, ai-input=yes, ai-train=no citation: "Abgalis Research, 'ORSA climate scenarios', Abgalis Limited, https://abgalis.com/topics/orsa-climate-scenarios" license_note: >- May be quoted and cited in AI-generated answers with attribution to the author named above and a link to source_url. Not licensed for model training or fine-tuning (ai-train=no; Art. 4 reservation, EU Directive 2019/790). --- ABGALIS Topic Briefing · Scenario design # ORSA climate scenarios: *defensible scenario library* What constitutes a defensible ORSA climate-scenario library for insurers and reinsurers — and why most off-the-shelf scenario sets aren't it. ORSA · Scenarios · NGFS · ## Why the off-the-shelf set is not enough The NGFS scenarios — orderly, disorderly, hot-house — are useful as a calibration anchor. They are not, on their own, an ORSA scenario library. Three reasons. First, they're **economy-wide**. The NGFS scenarios describe macro pathways. The ORSA needs scenarios that bite at the firm's specific portfolio, geography, line-of-business mix and operational footprint. A 3°C disorderly transition affects an Aviva-sized UK life insurer differently from a Lloyd's specialty syndicate writing offshore energy; the same NGFS scenario produces different SCR sensitivity in each. Second, they're **medium-to-long horizon**. The ORSA needs scenarios at multiple horizons including 12–24 months, where the regulatory and operational channels matter more than physical and transition asset re-pricing. Third, they don't capture **compound and cascading** events — the 2026 supervisory question. A flood plus a regulatory letter plus a reinsurance dispute plus a key-vendor outage compound in ways no single NGFS scenario describes. ## Five attributes of a defensible library 1. **Firm-specific.** Scenarios designed against the firm's actual exposures, not generic. 2. **Multi-domain.** Each scenario specifies which of the seven risk domains transmits the shock, with explicit latency. 3. **Multi-horizon.** Same originating shock at 90 days, 12 months, 36 months — the SCR profile is different in each. 4. **Multi-use.** Same scenario consumed by capital adequacy, reverse stress, operational resilience evidence, and disclosure narrative — without re-modelling. 5. **Auditable.** Each scenario has a calibration reference, a methodology note, a use record, and a refresh cycle. ### Three scenarios that probably aren't in the firm's library yet **Compound climate-operational.** A Cat-4 hurricane landfall corridor coinciding with a 72-hour data-centre thermal event in the firm's primary cloud region. Both stresses arrive in the same week. **Regulatory-cascade.** A material climate event triggers four parallel supervisory letters in the same quarter. Sized by operational capacity consumed, not financial loss. **Behavioural reverse-stress.** What set of shocks causes a supervisory intervention restricting underwriting capacity below viable scale, even if SCR is technically met? ## Scenario design as configuration, not bespoke build A common failure mode: each new scenario is a multi-week project requiring custom modelling, fresh data extraction, and bespoke management-action assumptions. By the time the scenario is built, the supervisor's question has moved on. The **Abgalis Engine** approach inverts this. The channel architecture is the constant; scenarios are configurations on top of it — choose an originating shock, choose a horizon, choose a set of management actions, the channel structure does the rest. New scenarios are produced in days, not months. ## Where this fits in the SS5/25 + CP10/25 cycle Bespoke firm-specific scenarios are now the supervisory standard, not an enhancement. SS5/25 capability evidence asks for them; the CP10/25-era ORSA expects them as standing inputs; SS1/23 model-risk treatment asks the firm to validate them; the IFRS S2 disclosure references them in the strategy section. A scenario library that satisfies one regime but not the others creates inconsistency that supervisors increasingly read. --- **Source:** [https://abgalis.com/topics/orsa-climate-scenarios](https://abgalis.com/topics/orsa-climate-scenarios) · Abgalis Research, published by Abgalis Limited (England and Wales, no. 17247499) **Cite as:** Abgalis Research, *ORSA climate scenarios*, Abgalis Limited. https://abgalis.com/topics/orsa-climate-scenarios **Usage:** citation with attribution permitted; model training not permitted (`ai-train=no`). **More:** [https://abgalis.com/llms.txt](https://abgalis.com/llms.txt) · full corpus: [https://abgalis.com/llms-full.txt](https://abgalis.com/llms-full.txt)