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Financial services

Macroeconomic scenario simulation

Quantitative engineer · 2025

The problem

Scenario work could simulate forward paths of linked macroeconomic variables. It could not ask, under a set of constraints, what feasible path is best.

Approach

Recast each scenario as constrained non-linear optimisation, with a solver layer that can handle both smooth and awkward objective surfaces, and an interface that domain experts can run without writing solver code.

Outcome

Scenario design that answers "what is achievable" rather than only "what happens if".